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accurate Value-at-Risk measures, and a comparison with traditional (GARCH) approaches to calculate Value-at-Risk demonstrates …
Persistent link: https://www.econbiz.de/10005419370
in different ways to mirror the behavior of stocks on the Stockholm Stock Exchange. We find AR-GARCH parameter estimates …
Persistent link: https://www.econbiz.de/10005645124
Pareto distribution to AR-GARCH filtered price change series, and accurate estimates as well as forecasts of extreme …
Persistent link: https://www.econbiz.de/10005645184
Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that...
Persistent link: https://www.econbiz.de/10011074889
applications such as GARCH-models or VIX-like fear indexes. …
Persistent link: https://www.econbiz.de/10011096113