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The effect of realised volatility on stock returns risk estimates

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGrané Chávez, Aurea
dc.contributor.authorVeiga, Helena
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2007-09-18T09:42:38Z
dc.date.available2007-09-18T09:42:38Z
dc.date.issued2007-09
dc.description.abstractIn 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.
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dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.repecws076316
dc.identifier.urihttps://hdl.handle.net/10016/947
dc.language.isoeng
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries07-16
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.jelC14
dc.subject.jelC15
dc.subject.jelG13
dc.subject.otherAsymmetry
dc.subject.otherHigh-Frequency data
dc.subject.otherMinimum capital risk requirements
dc.subject.otherRealised volatility
dc.titleThe effect of realised volatility on stock returns risk estimates
dc.typeworking paper*
dspace.entity.typePublication
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