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Modelling Conditional Heteroskedasticity: Application to Stock Return Index "IBEX-35"

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Author Info
Leon, A.
Mora, J.
Abstract

This paper compares alternative time-varying volatility models for daily stock-returns using data from Spanish equity index IBEX-35.

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Publisher Info
Paper provided by Valencia - Instituto de Investigaciones Economicas in its series Papers with number 96-11.

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Length: 44 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:valinv:96-11

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Postal: Instituto Valenciano de InvEstigaciones Economics, C/Guardia Civil, 22, Esc. 2, 1 46020 Valencia (Espana).
Phone: +34 96 319 00 50
Fax: +34 96 319 00 55
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Web page: http://www.ivie.es/
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Related research
Keywords: MODELS STOCK MARKET FINANCIAL MARKET

Find related papers by JEL classification:
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

Cited by:
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  1. Pilar Corredor Casado & Rafael Santamaría, . "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA. [Downloadable!]
Statistics
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This page was last updated on 2008-7-2.

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