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Risque de modèle de volatilité
Alami, Ali; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001
The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for portfolio management. Moreover, the generalization of the use of derivatives has placed in the forefront the concept of volatility risk: i.e. the model risk generated by treating...
Persistent link: https://www.econbiz.de/10005100999
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001
) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …
Persistent link: https://www.econbiz.de/10005101027
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On Periodic Autogressive Conditional Heteroskedasticity
Bollerslev, Tim; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1994
periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA … processes studied by Gladyshev (1961), Tiao and Grupe (1980) and others. We describe the relation between periodic GARCH … processes and time-invariant (seasonal) GARCH processes. Besides the periodic GARCH or P-GARCH process, we also discuss P …
Persistent link: https://www.econbiz.de/10005101043