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Using Bootstrap In Some Volatility Models

Author

Listed:
  • Zuzana Prášková

Abstract

Stochastic variance models where the logarithmic volatility is modelled by an ARMA process and models with conditional heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is considered and estimated from daily observations by bootstrap. Asymptotic properties of bootstrap estimators and the consistency of the method are studied.

Suggested Citation

  • Zuzana Prášková, 2000. "Using Bootstrap In Some Volatility Models," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 7(11).
  • Handle: RePEc:czx:journl:v:7:y:2000:i:11:id:83
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/83
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    References listed on IDEAS

    as
    1. Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
    2. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.
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    5. Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago, issue Oct.
    6. Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 1-34, August.
    7. Seidler, Jakub & Horvath, Roman & Jakubík, Petr, 2009. "Estimating expected loss given default in an emerging market: the case of Czech Republic," Journal of Financial Transformation, Capco Institute, vol. 27, pages 103-107.
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    More about this item

    Keywords

    Volatility; stochastic variance; heteroscedasticity; bootstrap; wild bootstrap;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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