Showing 1 - 10 of 30
properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and …
Persistent link: https://www.econbiz.de/10005407899
factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …
Persistent link: https://www.econbiz.de/10005407963
This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...
Persistent link: https://www.econbiz.de/10005413068
We examine correlation dynamics using daily data from 1993 to 2002 on the 5 largest eurozone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies,including estimation of the...
Persistent link: https://www.econbiz.de/10005413082
return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH …
Persistent link: https://www.econbiz.de/10005413108
. Bootstrap and asymptotic values of these tests are estimated. Alternative models from the GARCH family (GARCH, EGARCH and TGARCH …
Persistent link: https://www.econbiz.de/10005413222
. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the …
Persistent link: https://www.econbiz.de/10005076958
original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes … wavelet scalograms, we demonstrate that the MMAR outperforms both the GBM and GARCH(1,1) in time-frequency comparisons, in … attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high …
Persistent link: https://www.econbiz.de/10005077018
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this study first I summarized several specifications for the conditional variance and also define some methods for combination of these specifications. Then assuming that the squared...
Persistent link: https://www.econbiz.de/10005556286