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A Nonlinear Autoregressive Distributed Lag (NARDL) analysis of the FTSE and S&P500 indexes
Allen, David E.; McAleer, Michael - In: Risks : open access journal 9 (2021) 11, pp. 1-20
The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...
Persistent link: https://www.econbiz.de/10012704014
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Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse
Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20
The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … two standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …
Persistent link: https://www.econbiz.de/10012203997