This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Volatility bias in the GARCH model: a simulation study

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Eduardo Acosta González ()
Fernando Fernández Rodríguez ()
Jorge Pérez Rodríguez ()
Abstract

In this paper we show that the conditional variance of the GARCH(1,1) model is a measure that usually overstimates the magnitude of volatility in time series.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bibliotecas.ulpgc.es/fcee/hemeroteca/documentos%20de%20trabajo/DocumentosDTrabajo/doc8/2002-01.pdf
Our checks indicate that this address may not be valid because: 500 Can't connect to www.bibliotecas.ulpgc.es:80 (Bad hostname 'www.bibliotecas.ulpgc.es'). If this is indeed the case, please notify (Patricia Santana)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Facultad de Ciencias Económicas de la ULPGC in its series Documentos de trabajo conjunto ULL-ULPGC with number 2002-02.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 11 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:can:series:2002-02

Contact details of provider:

For technical questions regarding this item, or to correct its listing, contact: (Patricia Santana).

Related research
Keywords: GARCH models prediction bias

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  2. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? About five million pdf files are downloaded through RePEc every year.

This page was last updated on 2008-7-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.