1,721,111 research outputs found
Univariate GARCH models: a Survey
No full textThis article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and testing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are discussed
Un modello GARCH multivariato per la volatilità dei tassi di cambio
No full textIl lavoro propone un modello GARCH multivariato, di cui si presentano le caratteristiche di stazionarietà e le tecniche di stima, per la modellazione delle volatilità dei tassi di cambio settimanali della lira (lira-marco, lira-dollaro, lira-sterlina inglese). Con il modello stimato si effettuano previsioni dei tassi di cambio fino a tre passi in avanti
Il mercato dei derivati over-the-counter
No full textDescrizione del mercato dei derivati over-the-counter e dei meccanismi di determinazione del prezz
Financial integration estimation with realized measures
Full text linkThe objective of this study is to provide a new evidence on time-varying equity market integration, employing alternative econometric specifications of the conditional covariance process. Differently from the current literature on the topic, we specify alternative econometric models for the conditional covariance of stock indexes which include as a measure of past variability the monthly realized covariances. We analyze the degree of integration with
the rest of the world of European equity markets and its variation through time. We cast our analysis in the framework provided with by the International Asset Pricing Model (IAPM). This model accommodates the evolving market structure from segmentation to integration as well as intermediate cases, depending on the existence of barriers to investments and the availability of substitute assets. Our analysis provides evidence that in recent years
most of European Markets become more integrated with the world market. The local risk factor does not seem to be a determinant factor in the European markets, in the sample period considered. Its contribution to the total time-varying risk premium is only marginal
Long memory and periodicity in intraday volatilities of stock index futures
Full text linkThis paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago Mercantile Exchange, one of the most traded American Stock Index futures. The data set consists of round-the-clock hourly returns. The squared (and absolute) returns are characterized by long memory and periodicity. In order to jointly model the long memory and the periodic components in the returns volatility we introduce two new parameterizations. The Fractionally Integrated Periodic EGARCH (FI-PEGARCH) and the Seasonal Fractional Integrated Periodic EGARCH (SFI-PEGARCH). For both models we compute the population kurtosis and the autocorrelation function of power transformations of absolute returns. We find that during the Asian and European trading time the volatility is lower than during the American trading time when we observe a sharp increase. The results seem to confirm the fact that hourly returns sampled over the 24 hours across different markets are characterized by a strong seasonal pattern with a statistically significant persistence. Finally we present the in-sample and out-of-sample forecasts results of unrestricted and restricted long memory periodic volatility models
Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study
Full text linkRecently some new techniques have been proposed for the estimation of the
slope coefficients in presence of unobserved components. Though, the presence of
common observed and unobserved factors is neither considered or the estimation
of their impacts is not taken into account. In this work a range of estimators
is surveyed and their finite-sample properties are examined by means of Monte
Carlo experiments. We consider both the properties of estimators for the individual
specific components and for the observed common effects
Long memory and Periodicity in Intraday Volatility
No full textIntraday return volatilities are characterized by the contemporaneous presence of periodicity and long memory. This paper proposes two new parameterizations of the intraday volatility: the Fractionally Integrated Periodic EGARCH and the Seasonal Fractional Integrated Periodic EGARCH, which provide the required flexibility to account for both features. The periodic kurtosis and periodic autocorrelations of power transformations of the absolute returns are computed for both models. The empirical application shows that volatility of the hourly Emini S&P 500 futures returns are characterized by a periodic leverage effect coupled with a statistically significant long-range dependence. An out-of-sample forecasting comparison with alternative models shows that a constrained version of the FI-PEGARCH provides superior forecasts. A simulation experiment is carried out to investigate the effects
that sample frequency has on the fractional differencing parameter estimate
Euro corporate bond risk factors
No full textThis paper investigates the determinants of credit spread changes on bonds denominated in euro. The analysis is carried out using a panel data on euro bonds. We try to asses the relative importance of market and idiosyncratic factors in explaining the movements in credit spread. Because credit spread changes can be easily viewed as an excess return of corporate bonds over treasury, we adopt a factor model framework. We consider different approaches to the estimation of common factors using a panel of monthly redemption yields on a set of corporate bonds for a time span of three years. Our results suggest that the euro corporate market is widely heterogeneous and illiquid. Neither the issue specific factors nor the aggregate common factors appear important in determining credit spread changes. However, an unobserved common factor, identified as a liquidity factor seems to drive a relevant component of the systematic changes in credit spreads
Long memory and Periodicity in Intraday Volatilities of Stock Index Futures
No full textThis paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago Mercantile Exchange, one of the most traded American Stock Index futures. The data set consists of round-the-clock hourly returns. The squared (and absolute) returns are characterized by long memory and periodicity. In order to jointly model the long memory and the periodic components in the returns volatility we introduce two new parameterizations. The Fractionally Integrated Periodic EGARCH (FI-PEGARCH) and the Seasonal Fractional Integrated Periodic EGARCH (SFI-PEGARCH). For both models we compute the population kurtosis and the autocorrelation function of power transformations of absolute returns. We find that during the Asian and European trading time the volatility is lower than during the American trading time when we observe a sharp increase. The results seem to confirm the fact that hourly returns sampled over the 24 hours across different markets are characterized by a strong seasonal pattern with a statistically significant persistence. Finally we present the in-sample and out-of-sample forecasts results of unrestricted and restricted long memory periodic volatility models
Finite sample results of Range-based integrated volatility estimation
No full textIn this paper we consider the finite-sample properties of Realized Range estimators of integrated volatility and we compare them to those of the Realized Volatility estimators when a sample
of high-frequency data is observed. Simulated data are obtained from different generating mechanisms for the instantaneous volatility process, e.g. Ornstein-Uhlenbeck, long memory and
jump processes. We analyze the impact that missing observations have on the Realized Range measures and we propose a simple correction in order to reduce the bias. We also evaluate the robustness of the different approaches considered when high-frequency prices are affected by bid-ask bounce and price discreteness. Simulation results confirm that realized range corrected for irregular sampling has lower bias while not increasing the estimator variance. The simulations also show how the degree of persistence in the estimated Integrated Variance series crucially depends on the sampling frequency adopted in the estimation and thus on the precision of the estimators. A brief empirical application with high-frequency IBM data is also included
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