HEAVY and Realized (E)GARCH models di Bjorn Baars edito da GlobeEdit
Alta reperibilità

HEAVY and Realized (E)GARCH models

Editore:

GlobeEdit

EAN:

9783639678680

ISBN:

3639678680

Pagine:
116
Formato:
Paperback
Lingua:
Tedesco
Acquistabile con o la

Descrizione HEAVY and Realized (E)GARCH models

This book investigates the out-of-sample performance of several models that predict unobserved conditional variance. The models that are considered are the HEAVY, RealGARCH(1,1) and the RealEGARCH(1,1) model. These models are also extended, using the squared daily return as extra regressor and adding an indicator function for negative returns multiplied with the realized measure. With these models, forecasts are made and compared with two benchmark models, being the GARCH(1,1) model and the HAR-3 model. The loss function that is used to compare these models is the QLIKE loss function, with the squared daily returns, realized variance and realized kernel as a proxy. The data that are considered, are the indices of the FTSE100, DAX30, CAC40, AEX, SSMI, IBEX35 and the EUROSTOXX50 from January 2000 to March 2014.

Spedizione gratuita
€ 53.34
o 3 rate da € 17.78 senza interessi con
Disponibile in 10-12 giorni
servizio Prenota Ritiri su libro HEAVY and Realized (E)GARCH models
Prenota e ritira
Scegli il punto di consegna e ritira quando vuoi

Recensioni degli utenti

e condividi la tua opinione con gli altri utenti