Showing 1 - 10 of 189
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models...
Persistent link: https://www.econbiz.de/10012859426
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) of FTSE sampled at 5 min intervals taken...
Persistent link: https://www.econbiz.de/10013200547
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken...
Persistent link: https://www.econbiz.de/10012611433
The paper features an examination of the link between the behaviour of oil prices and DowJones Index in a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries....
Persistent link: https://www.econbiz.de/10012888683
durations are modelled using a theory similar to that of autoregressive processes. On a sample of six stocks listed on the ASX …
Persistent link: https://www.econbiz.de/10012735631
durations are modelled using a theory similar to that of autoregressive processes. This new class of time series models is … called Autoregressive Conditional Duration (ACD) models. We apply the theory to analyse the behaviour of an Australian Stock …
Persistent link: https://www.econbiz.de/10012738811
The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken...
Persistent link: https://www.econbiz.de/10012384599
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) of FTSE sampled at 5 min intervals taken...
Persistent link: https://www.econbiz.de/10012203997
quantify extreme market risk, Extreme Value Theory (EVT) proves to be a natural statistical modelling technique of interest … including portfolio theory and hedging amongst applications. Extreme Value Theory (EVT) provides well established methods for …
Persistent link: https://www.econbiz.de/10013090357
Persistent link: https://www.econbiz.de/10001518266