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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects …

Persistent link: https://www.econbiz.de/10011471089

New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence

Skrobotov, Anton - 2020

-linear dependence (usually modelled using GARCH-type dynamics) and heavy-tailedness may make problematic the analysis of (non … provides asymptotic theory for sample analogues of the above measures in the case of general time series, including GARCH …-type processes. It further develops new approaches to robust inference on them in the case of general GARCH-type processes exhibiting …

Persistent link: https://www.econbiz.de/10012836363

GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Ardia, David - 2020

quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …

Persistent link: https://www.econbiz.de/10012857089

A Note on Bootstrapping Autoregression Under Nonstationary Volatility

Kourogenis, Nikolaos - 2012

In a recent article, Xu (2008) developed the asymptotic theory for autoregressions around a polynomial trend, under nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these tests are asymptotically standard normal. A...

Persistent link: https://www.econbiz.de/10013112126

Spot Variance Path Estimation and Its Application to High Frequency Jump Testing

Bos, Charles S. - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10013153285

Sources of the Great Moderation : A Time-Series Analysis of GDP Subsectors

Enders, Walter - 2012

Recent work finds evidence that the volatility of the U.S. economy fell dramatically around the first quarter of 1984. We trace the timing of this so-called "Great Moderation" across many subsectors of the economy in order to better understand its root cause. We find that the interest rate...

Persistent link: https://www.econbiz.de/10013101654

Forecast Evaluation in Large Cross-Sections of Realized Volatility

Katsouris, Christis - 2022

In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using equal predictive accuracy testing procedures. We evaluate the predictive accuracy of the model based on the augmented cross-section when forecasting Realized Volatility. Under...

Persistent link: https://www.econbiz.de/10013306884

Modelling the Volatility-Return Trade-Off When Volatility May Be Nonstationary

Dahl, Christian M.; Iglesias, Emma M. - 2009

In this paper a new GARCH–M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is … disturbance process. Importantly, the volatility in the GARCH-AR model enters the return function in terms of relative volatility … characterization of the stationarity properties of the GARCH-AR process by generalizing the results of Bougerol and Picard (1992b …

Persistent link: https://www.econbiz.de/10014199817

Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables

Sizova, Natalia - 2013

The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...

Persistent link: https://www.econbiz.de/10013094461