Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Rolling-sampled parameters of ARCH and Levy-stable models

[journal article]

Degiannakis, Stavros; Livada, Alexandra; Panas, Epaminondas

fulltextDownloadDownload full text

(1796 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-240349

Further Details
Abstract In this paper an asymmetric autoregressive conditional heteroskedasticity (ARCH) model is applied to some well-known financial indices (DAX30, FTSE20, FTSE100 and SP500), using a rolling sample of constant size, in order to investigate whether the values of the estimated parameters of the model change over time. Although, there are changes in the estimated parameters reflecting that structural properties and trading behaviour alter over time, the ARCH model adequately forecasts the one-day-ahead volatility. A simulation study is run to investigate whether the time variant attitude holds in the case of a generated ARCH data process revealing that either in that case the rolling-sampled parameters are time-varying. The rolling analysis is also applied to estimate the parameters of a Levy-stable distribution. The empirical findings support that the stable parameters are also time-variant.
Document language English
Publication Year 2008
Page/Pages p. 3051-3067
Journal Applied Economics, 40 (2008) 23
DOI http://dx.doi.org/10.1080/00036840600994039
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)