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for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …
Persistent link: https://www.econbiz.de/10013109345
A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by …
Persistent link: https://www.econbiz.de/10013127184
framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter …. Our analysis is motivated by the recent literature on realized (volatility) measures, such as the realized variance, that … are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the DJIA stocks we find …
Persistent link: https://www.econbiz.de/10014198167
We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance - a statistic that replaces every squared return of realized variance with a normalized squared range. If the entire sample path of the process is...
Persistent link: https://www.econbiz.de/10014064319
Persistent link: https://www.econbiz.de/10014329798
This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series … were directly observed. These nice properties lead to simple and more accurate estimation of Value-at-Risk (VaR) for …
Persistent link: https://www.econbiz.de/10012857717
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …
Persistent link: https://www.econbiz.de/10011380176
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …
Persistent link: https://www.econbiz.de/10011477452
Persistent link: https://www.econbiz.de/10011705024
tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …
Persistent link: https://www.econbiz.de/10014497339