Publication: The effect of realised volatility on stock returns risk estimates
dc.affiliation.dpto | UC3M. Departamento de Estadística | es |
dc.contributor.author | Grané Chávez, Aurea | |
dc.contributor.author | Veiga, Helena | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de Estadística | |
dc.date.accessioned | 2007-09-18T09:42:38Z | |
dc.date.available | 2007-09-18T09:42:38Z | |
dc.date.issued | 2007-09 | |
dc.description.abstract | In this paper, we estimate minimum capital risk requirements for short, long positions and 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; and, most importantly, we analyse the models performance when realised volatility is included as an explanatory variable into the models' variance equations. The results suggest that the inclusion of realised volatility improves the models forecastability and their capacity to calculate accurate measures of minimum capital risk requirements. | |
dc.format.extent | 345661 bytes | |
dc.format.extent | 809 bytes | |
dc.format.extent | 10760 bytes | |
dc.format.extent | 46 bytes | |
dc.format.extent | 2973 bytes | |
dc.format.extent | 45489 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.identifier.repec | ws076316 | |
dc.identifier.uri | https://hdl.handle.net/10016/947 | |
dc.language.iso | eng | |
dc.language.iso | eng | |
dc.relation.ispartofseries | UC3M Working papers. Statistics and Econometrics | |
dc.relation.ispartofseries | 07-16 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Estadística | |
dc.subject.jel | C14 | |
dc.subject.jel | C15 | |
dc.subject.jel | G13 | |
dc.subject.other | Asymmetry | |
dc.subject.other | High-Frequency data | |
dc.subject.other | Minimum capital risk requirements | |
dc.subject.other | Realised volatility | |
dc.title | The effect of realised volatility on stock returns risk estimates | |
dc.type | working paper | * |
dspace.entity.type | Publication |
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