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A Score Test for Discreteness in GARCH Models
Amilon, Henrik - Finance Discipline Group, Business School - 2002
The standard continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series … proposed model differ significantly from the one we would have if all variables were observed, i.e. an underlying latent GARCH … in no case does the proposed model differ significantly from an unobservable continuous-state GARCH model. …
Persistent link: https://www.econbiz.de/10005073658
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Estimating the FOMC’s Interest Rate Rule with Variable Selection and Partial Regime Switching
Check, Adam - 2019
In many recent empirical studies of the Federal Open Market Committee's (FOMC's) interest rate rule, the parameters of the rule are allowed to change over time. However, within this literature, there is no consensus about the nature of the parameter change. Some authors, such as Sims and Zha...
Persistent link: https://www.econbiz.de/10012864831
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Downside Risk Evaluation with the R Package GAS
Ardia, David - 2019
Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under management. They also need to evaluate the adequacy of their model using so-called backtesting procedures. The latter involve hypothesis testing and evaluation of loss functions....
Persistent link: https://www.econbiz.de/10012902645
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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - Institut für Volkswirtschaftslehre, … - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10011203171
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An Econometric Analysis of Financial Data in Risk Management
Fantazzini, Dean - In: Applied Econometrics 10 (2008) 2, pp. 91-137
The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...
Persistent link: https://www.econbiz.de/10009002154
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2004
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...
Persistent link: https://www.econbiz.de/10009219819
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Worldwide equity Risk Prediction
Ardia, David; Hoogerheide, Lennart F. - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The … conclusions. First, an asymmetric GARCH specification is essential when forecasting the 95% value-at-risk. Second, for both the 95 …
Persistent link: https://www.econbiz.de/10010660037
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Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012
Ardia, David; Hoogerheide, Lennart F. - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
We investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model parameters over the S …&P 500 constituents for the period 2000-2012. We find the following results. First, the unconditional variances in the GARCH … unconditional mean that increases. Particularly in the latest financial crisis, the estimated models tend to Integrated GARCH models …
Persistent link: https://www.econbiz.de/10010660038
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Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán, Carlos - In: Journal of Empirical Finance 19 (2012) 5, pp. 627-639
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10011042107
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International portfolio allocation with European fixed-income funds: What scope for Italian funds?
Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2014
fractionally-integrated GARCH for the conditional variance. The interaction between the funds is modelled as the Dynamic …
Persistent link: https://www.econbiz.de/10011107858