Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches

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dc.contributor.author Grané, Aurea
dc.contributor.author Veiga, Helena
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2007-05-18T10:16:35Z
dc.date.available 2007-05-18T10:16:35Z
dc.date.issued 2007-05
dc.identifier.uri http://hdl.handle.net/10016/826
dc.description.abstract In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of GARCH-type and stochastic volatility models. We consider the possibility that errors follow a t-Student distribution in order to capture the kurtosis of the returns distributions. The results suggest that an accurate modeling of extreme returns obtained for long and short trading investment positions is possible with a simple autoregressive stochastic volatility model. Moreover, modeling volatility as a fractional integrated process produces, in general, excessive volatility persistence and consequently leads to large minimum capital risk requirement estimates. The performance of models is assessed with the help of out-of-sample tests and p-values of them are reported.
dc.format.extent 372411 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 07-13
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Minimum capital risk requirement
dc.subject.other Moving block bootstrap
dc.subject.other Stochastic volatility
dc.subject.other Volatility persistence
dc.title Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws074713
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