Empirical Studies on Volatility in International Stock by Eugenie M.J.H. Hol

By Eugenie M.J.H. Hol

Empirical stories on Volatility in foreign inventory Markets describes the present ideas for the size and estimation of volatility in foreign inventory markets with emphasis at the SV version and its empirical program. Eugenie Hol develops a variety of extensions of the SV version, which permit for extra variables in either the suggest and the variance equation. additionally, the forecasting functionality of SV versions is in comparison not just to that of the well-established GARCH version but additionally to implied volatility and so-called realised volatility versions that are in line with intraday volatility measures.
The meant readers are monetary execs who search to procure extra exact volatility forecasts and need to achieve perception approximately state of the art volatility modelling recommendations and their empirical price, and educational researchers and scholars who're attracted to monetary marketplace volatility and need to procure an up-to-date evaluate of a number of the tools on hand during this area.

Show description

Read or Download Empirical Studies on Volatility in International Stock Markets PDF

Similar econometrics books

Stochastic Limit Theory: An Introduction for Econometricicans (Advanced Texts in Econometrics)

This significant new econometrics textual content surveys fresh advancements within the speedily increasing box of asymptotic distribution conception, with a unique emphasis at the difficulties of time dependence and heterogeneity. Designed for econometricians and complex scholars with constrained mathematical education, the publication basically lays out the mandatory math and chance idea and makes use of a variety of examples to make its facts invaluable and understandable.

Forecasting Non-Stationary Economic Time Series

Economies evolve and are topic to surprising shifts prompted by way of legislative alterations, monetary coverage, significant discoveries, and political turmoil. Macroeconometric versions are a really imperfect device for forecasting this hugely advanced and altering approach. Ignoring those elements results in a large discrepancy among thought and perform.

Economics of Insurance

The idea of coverage is gifted during this ebook, mentioned from the perspective of the speculation of economics of uncertainty. the primary of top class calculation which the booklet makes use of relies on financial equilibrium concept and differs from a few of the top class structures mentioned through actuaries. Reinsurance is built within the framework of common financial equilibrium thought less than uncertainty.

Econometrics

This is often an excerpt from the 4-volume dictionary of economics, a reference e-book which goals to outline the topic of economics this present day. 1300 topic entries within the entire paintings conceal the vast issues of financial idea. This extract concentrates on econometrics.

Additional info for Empirical Studies on Volatility in International Stock Markets

Example text

Jacquier et al. 99 for daily Standard & Poor’s 500 returns. GARCH(1,1) models, hereafter simply referred to as GARCH models, are stationary when the sum of α and β is smaller than one. 984 in its Student-t distributed counterpart. The parameter estimate for υ is then found to be statistically significant as is the likelihood ratio test statistic testing for υ = 0; this suggests that a better GARCH model fit is obtained when εt is assumed to follow a Student t-distribution. Since SV and GARCH models are not nested we cannot perform LR tests to distinguish between the two classes of models.

5ηt )εt with a zero mean but with a non-Gaussian density. Although SV models are seen as a competitive alternative to GARCH models their empirical application has been limited. This can mainly be attributed to the difficulties that arise as a result of the intractability of the likelihood function which prohibits its direct evaluation. However, in recent years considerable advances have been made in this area. The estimation techniques that have been proposed for SV models can be divided into two groups: those that seek to construct the full likelihood function and those that approximate it or avoid the issue altogether.

3 Empirical Applications of Time-Varying Volatility Models GARCH models and their various extensions have been widely applied to financial and economic time series and the empirical GARCH literature has grown dramatically over the past two decades. Initially many of these stock return studies investigated the lag lengths p and q in the GARCH(p, q) model and concluded that for most empirical implementations it was sufficient to adopt low orders 10 . Ever since the GARCH(1,1) model has become the standard GARCH model specification.

Download PDF sample

Rated 4.18 of 5 – based on 22 votes