Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse
Year of publication: |
2020
|
---|---|
Authors: | Allen, David E. ; McAleer, Michael |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 1/12, p. 1-20
|
Subject: | demeaned daily squared returns | FTSE | GARCH (1,1) | HAR model | RV 5 min | stochastic volatility | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Großbritannien | United Kingdom | Schätztheorie | Estimation theory | Aktienindex | Stock index | Börsenkurs | Share price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8010012 [DOI] hdl:10419/257967 [Handle] |
Classification: | C22 - Time-Series Models ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Stochastic volatility and GARCH : do squared end-of-day returns provide similar information?
Allen, David E., (2020)
-
Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models
Yildirim, Hakan, (2023)
-
Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie, (2002)
- More ...
-
Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E., (2013)
-
Allen, David E., (2013)
-
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E., (2013)
- More ...