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Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data

Author

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  • John W. Galbraith
  • Serguei Zernov
  • Victoria Zinde-Walsh

Abstract

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Suggested Citation

  • John W. Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001. "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers 2001s-61, CIRANO.
    • Handle: RePEc:cir:cirwor:2001s-61
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    File URL: https://cirano.qc.ca/files/publications/2001s-61.pdf
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    References listed on IDEAS

    as
    1. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August.
    2. Nathalie de Marcellis-Warin & Erwann Michel-Kerjan, 2001. "The Public-Private Sector Risk-Sharing in the French Insurance "Cat. Nat. System"""," CIRANO Working Papers 2001s-60, CIRANO.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GARCH model; integrated volatility; quantile regression; Modèle GARCH; volatilité intégrée; régression quantile;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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