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Modelling conditional heteroskedasticity: Application to stock return lndex "IBEX-35

Listed author(s):
  • Ángel León Valle


    (Universidad de Alicante)

  • Juan Mora López


    (Universidad de Alicante)

This paper compares alternative time-varying volatility models for daily stock-returns using data from Spanish equity index IBEX-35. Specifically, we have estimated a parametric family of models of generalized autoregressive heteroskedasticity (which nests the most popular symmetric and asymmetric GARCH models, a semiparametric GARCH model, the stochastic volatility model SV(l), the Poisson jump diffusion process and finally, a non-parametric mode!. We obtain that those models which use conditional standard deviation produce better fits than all other GARCH models. We also compare all models using a standard efficiency test (which compares within sample predictive power and conclude that general GARCH models (specifically the TGARCH(1,ll model perform better than all others.

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File Function: Fisrt version / Primera version, 1996
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 1996-11.

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Length: 44 pages
Date of creation: Jul 1996
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:1996-11
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