ARCH-Prozesse und ihre Erweiterungen : eine empirische Untersuchung für Finanzmarktzeitreihen

Frank Jacobi

The volatility clustering observed in financial market data implies that large net yield shocks increase the probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle (1982), a range of models for conditional variances have been developed. In this analysis ARCH models and selected extensions are compared with each other regarding their suitability for the modelling and prognosis of conditional variances in the DAX-index.

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Year of publication:	Apr. 2005
Other Persons:	Jacobi, Frank (contributor)
Publisher:	Mainz : Inst. für Statistik und Ökonometrie, Univ.
Subject:	ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Finanzmarkt \| Financial market \| Aktienindex \| Stock index \| Volatilität \| Volatility \| Schätzung \| Estimation \| Theorie \| Theory \| Deutschland \| Germany \| Varianzanalyse \| Analysis of variance

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Extent:	Online-Ressource, 26, VII p. = 257 KB, text
Series:	Arbeitspapier / Institut für Statistik und Ökonometrie. - Mainz : [Verlag nicht ermittelbar], ZDB-ID 2148197-0. - Vol. 31
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	German
Notes:	Zsfassungen in dt. und engl. Sprache Systemvoraussetzungen: Acrobat reader
Source:	ECONIS - Online Catalogue of the ZBW

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