The effect of realised volatility on stock returns risk estimates

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Show simple item record Grané, Aurea Veiga, Helena
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2007-09-18T09:42:38Z 2007-09-18T09:42:38Z 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.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.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 workingPaper
dc.subject.jel C14
dc.subject.jel C15
dc.subject.jel G13
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws076316
dc.affiliation.dpto UC3M. Departamento de Estadística
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