Modelling and forecasting WIG20 daily returns

Publikation: Working paperForskning

Dokumenter

  • rp17_29

    Forlagets udgivne version, 805 KB, PDF-dokument

The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider31
StatusUdgivet - 4 sep. 2017
SerietitelCREATES Research Papers
Nummer2017-29

    Forskningsområder

  • Autoregressive conditional heteroskedasticity, forecasting volatility, modelling volatility, multiplicative time-varying GARCH, smooth transition

Se relationer på Aarhus Universitet Citationsformater

Download-statistik

Ingen data tilgængelig

ID: 116688245