Publicação
Asymmetry, realised volatility and stock return risk estimates
| Resumo: | In this paper we estimate minimum capital risk requirements for short and long positions with three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility to price changes. We also address the problem of the extremely high estimated persistence of the GARCH model to generate observed volatility patterns by including realised volatility as an explanatory variable into the model’s variance equation. The results suggest that the inclusion of realised volatility improves the GARCH forecastability as well as its ability to calculate accurate minimum capital risk requirements and makes it quite competitive when compared with asymmetric conditional heteroscedastic models such as the GJR and the EGARCH. |
|---|---|
| Autores principais: | Grané, Aurea |
| Outros Autores: | Veiga, Helena |
| Assunto: | Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| Ano: | 2012 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1866811258487963648 |
|---|---|
| author | Grané, Aurea |
| author2 | Veiga, Helena |
| author2_role | author |
| author_facet | Grané, Aurea Veiga, Helena |
| author_role | author |
| contributor_name_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Grané, Aurea\"},{\"Person.name\":\"Veiga, Helena\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Grané, Aurea Veiga, Helena |
| datacite.date.Accepted.fl_str_mv | 2012-08-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2018-06-21T14:46:22Z |
| datacite.date.embargoed.fl_str_mv | 2018-06-21T14:46:22Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| datacite.titles.title.fl_str_mv | Asymmetry, realised volatility and stock return risk estimates |
| dc.contributor.none.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Grané, Aurea Veiga, Helena |
| dc.date.Accepted.fl_str_mv | 2012-08-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2018-06-21T14:46:22Z |
| dc.date.embargoed.fl_str_mv | 2018-06-21T14:46:22Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/15684 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Springer Verlag |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| dc.title.fl_str_mv | Asymmetry, realised volatility and stock return risk estimates |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | In this paper we estimate minimum capital risk requirements for short and long positions with three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility to price changes. We also address the problem of the extremely high estimated persistence of the GARCH model to generate observed volatility patterns by including realised volatility as an explanatory variable into the model’s variance equation. The results suggest that the inclusion of realised volatility improves the GARCH forecastability as well as its ability to calculate accurate minimum capital risk requirements and makes it quite competitive when compared with asymmetric conditional heteroscedastic models such as the GJR and the EGARCH. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/cc78174e-08b2-4866-af14-adb09b3d3836/download |
| id | ul_fc0f5ee2cd2b836b3975c86e324f8f1e |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/15684 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/15684 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Grané, Aurea Veiga, Helena |
| publishDate | 2012 |
| publisher.none.fl_str_mv | Springer Verlag |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engSpringer Verlagpt_PTIn this paper we estimate minimum capital risk requirements for short and long positions with three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility to price changes. We also address the problem of the extremely high estimated persistence of the GARCH model to generate observed volatility patterns by including realised volatility as an explanatory variable into the model’s variance equation. The results suggest that the inclusion of realised volatility improves the GARCH forecastability as well as its ability to calculate accurate minimum capital risk requirements and makes it quite competitive when compared with asymmetric conditional heteroscedastic models such as the GJR and the EGARCH.application/pdfpt_PTAsymmetry, realised volatility and stock return risk estimatesGrané, AureaVeiga, HelenaHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.ptISSNIsPartOf1617-982X (print)ISSNIsPartOf1617-9838 (online)DOIIsPartOf10.1007/s10258-012-0081-82018-06-21T14:46:22Z2012-082012-08-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/15684http://purl.org/coar/access_right/c_16ecrestricted accessAsymmetryHigh-frequency dataMinimum capital risk requirementsRealised volatility432711 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/cc78174e-08b2-4866-af14-adb09b3d3836/downloadPortuguese Economic Journal112147164Lisboa |
| spellingShingle | Asymmetry, realised volatility and stock return risk estimates Grané, Aurea Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| status | SINGLETON |
| subject.fl_str_mv | Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| title | Asymmetry, realised volatility and stock return risk estimates |
| title_full | Asymmetry, realised volatility and stock return risk estimates |
| title_fullStr | Asymmetry, realised volatility and stock return risk estimates |
| title_full_unstemmed | Asymmetry, realised volatility and stock return risk estimates |
| title_short | Asymmetry, realised volatility and stock return risk estimates |
| title_sort | Asymmetry, realised volatility and stock return risk estimates |
| topic | Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| topic_facet | Asymmetry High-frequency data Minimum capital risk requirements Realised volatility |
| url | http://hdl.handle.net/10400.5/15684 |
| visible | 1 |