...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Portuguese Economic Journal >Asymmetry, realised volatility and stock return risk estimates
【24h】

Asymmetry, realised volatility and stock return risk estimates

机译：不对称，已实现的波动率和股票收益风险估计

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

In this paper we estimate minimum capital risk requirements for short and long positions with three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility to price changes. We also address the problem of the extremely high estimated persistence of the GARCH model to generate observed volatility patterns by including realised volatility as an explanatory variable into the model’s variance equation. The results suggest that the inclusion of realised volatility improves the GARCH forecastability as well as its ability to calculate accurate minimum capital risk requirements and makes it quite competitive when compared with asymmetric conditional heteroscedastic models such as the GJR and the EGARCH.
机译：在本文中，我们使用传统的GARCH模型和另外两个GARCH类型的模型来估计具有三个投资期限的空头和多头头寸的最低资本风险要求，其中包括了波动对价格变化的非对称响应的可能性。我们还通过将已实现的波动率作为解释变量包括在模型的方差方程中，解决了GARCH模型的极高估计持久性问题，以生成观察到的波动率模式。结果表明，与非对称条件异方差模型（如GJR和EGARCH）相比，实现波动率的提高提高了GARCH的可预测性，并提高了其计算准确的最低资本风险要求的能力，并使其具有相当的竞争力。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号