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On the origin of high persistence in GARCH-models
Krämer, Walter; Tameze, Baudouin; Christou, Konstantinos - In: Economics Letters 114 (2012) 1, pp. 72-75
We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious …
Persistent link: https://www.econbiz.de/10011041785
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Measuring persistence in stock market volatility using the FIGARCH approach
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197
the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …
Persistent link: https://www.econbiz.de/10011058943
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Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
Hillebrand, Eric - EconWPA - 2003
. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …
Persistent link: https://www.econbiz.de/10005119104
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Expected shortfall in the presence of asymmetry and long memory
Walther, Thomas - In: Pacific Accounting Review 29 (2017) 2, pp. 132-151
, the author applies several generalised autoregressive conditional heteroskedasticity (GARCH) models to account for … asymmetry and long memory effects in conditional volatility. Finally, the author back tests the GARCH models’ forecasts for … GARCH models with skewed Student’s t -distribution is recommended to forecast VaR and ES. Originality/value Up to now, no …
Persistent link: https://www.econbiz.de/10014968981
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Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail : further evidence from equity market
Huang, Yirong; Luo, Yi - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014534834
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083
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Forecasting the term structure of volatility of crude oil price changes
Balaban, Ercan; Lu, Shan - In: Economics letters 141 (2016), pp. 116-118
Persistent link: https://www.econbiz.de/10011616200
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Measuring long-term tail risk : evaluating the performance of the square-root-of-time rule
Wang, Jying-Nan; Du, Jiangze; Hsu, Yuan-Teng - In: Journal of empirical finance 47 (2018), pp. 120-138
Persistent link: https://www.econbiz.de/10012103480
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Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - 2015
Persistent link: https://www.econbiz.de/10010497517
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Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches
Fan, Minyou; Li, Youwei; Liu, Jiadong - In: Research in international business and finance 46 (2018), pp. 131-140
Persistent link: https://www.econbiz.de/10011983588