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Classifying Italian Pension Funds via GARCH Distance

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Edoardo Otranto

    (University of Sassari)

  • Alessandro Trudda

    (University of Sassari)

Abstract

The adoption of pension funds in the Italian social security policy has increased the offer of several investment funds. Workers have to decide what kind of investment to perform, the funds having a different composition and a subsequently different degree of risk. In this paper we propose the use of a distance between GARCH models as a measure of different structure of volatility of some funds, with the purpose of classifying a set of funds. Furthermore we extend the idea of equivalence between ARMA models to the GARCH case to verify the equality of the risk of each couple of funds. An application on thirteen Italian funds and fund indices is performed.

Suggested Citation

  • Edoardo Otranto & Alessandro Trudda, 2008. "Classifying Italian Pension Funds via GARCH Distance," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 189-197, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_24
    DOI: 10.1007/978-88-470-0704-8_24
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    Cited by:

    1. Giuseppe Ciaburro & Gino Iannace, 2021. "Machine Learning-Based Algorithms to Knowledge Extraction from Time Series Data: A Review," Data, MDPI, vol. 6(6), pages 1-30, May.
    2. Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017. "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, vol. 22(C), pages 20-29.

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