Author: Adrian R. Pagan
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 92
Book Description
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry of stock volatility, even over the 1834-1925 period.
Alternative Models for Conditional Stock Volatility
Author: Adrian R. Pagan
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 92
Book Description
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry of stock volatility, even over the 1834-1925 period.
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 92
Book Description
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry of stock volatility, even over the 1834-1925 period.
Alternative Models for Conditional Stock Volatility
Author: Adrian Pagan
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry of stock volatility, even over the 1834-1925 period.
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry of stock volatility, even over the 1834-1925 period.
Alternative models for conditional stock volatility
Author: A. R. Pagan
Publisher:
ISBN:
Category :
Languages : es
Pages : 22
Book Description
Publisher:
ISBN:
Category :
Languages : es
Pages : 22
Book Description
Alternative Models for Conditional Stock Volatility
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Evaluating Alternative Models for Conditional Stock Volatility
Author: R. Glen Donaldson
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 28
Book Description
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 28
Book Description
An Evaluation of Alternative Models for Predicting Stock Volatility
Author: Per Frennberg
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We examine the forecasting power of three recently proposed models for conditional stock volatility - an ARCH(9), a GARCH(1,2) and an AR(12)-model - with and without a seasonal component on a sample of monthly Swedish stock returns for the period 1977-1990. Our main results are the following: 1) the seasonal component adds forecasting power to all models, 2) the AR-model performs significantly better than both the ARCH- and the GARCH-model and 3) the AR-model performs at least as well as two benchmark forecasts - the implied volatility from stock index options and lagged actual volatility - despite the fact that these benchmark forecasts use a larger information set.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We examine the forecasting power of three recently proposed models for conditional stock volatility - an ARCH(9), a GARCH(1,2) and an AR(12)-model - with and without a seasonal component on a sample of monthly Swedish stock returns for the period 1977-1990. Our main results are the following: 1) the seasonal component adds forecasting power to all models, 2) the AR-model performs significantly better than both the ARCH- and the GARCH-model and 3) the AR-model performs at least as well as two benchmark forecasts - the implied volatility from stock index options and lagged actual volatility - despite the fact that these benchmark forecasts use a larger information set.
Alternative Models for Conditional Volatility
Author: Anya Khanthavit
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
Book Description
An Evaluation of Alternative Models for Predicting Stock Volatility
Author: Per Frennberg
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
Alternative Models for the Conditional Heteroscedasticity of Stock Returns
Author: Dongcheol Kim
Publisher:
ISBN:
Category : Heteroscedasticity
Languages : en
Pages : 50
Book Description
Publisher:
ISBN:
Category : Heteroscedasticity
Languages : en
Pages : 50
Book Description
Alternative Models of Asymmetric Volatility in Stock Returns
Author: Ludger Hentschel
Publisher:
ISBN:
Category :
Languages : en
Pages : 119
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 119
Book Description