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| Tekijä: | Pederzoli, C. |
| Otsikko: | Stochastic volatility and GARCH: a comparison based on UK stock data |
| Lehti: | European Journal of Finance
2006 : JAN, VOL. 12:1, p. 41-59 |
| Asiasana: | volatility models value-at-risk stock markets United Kingdom |
| Kieli: | eng |
| Tiivistelmä: | This paper compares two types of volatility (here as: vol./vols.) models for returns, ARCH-type and stochastic vol. (SV) models. The models are estimated on U.K. stock data: a series of the British equity index FTSE100 is used to estimate the relevant parameters. Diagnostic tests are implemented to evaluate how well the models fit the data. The models are used to obtain daily vol. forecasts and these vols. are used to estimate the "VaR" on a simple one-unit position on FTSE100. |
SCIMA