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


  • 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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  • Ángel León Valle & Juan Mora López, 1996. "Modelling conditional heteroskedasticity: Application to stock return lndex "IBEX-35," Working Papers. Serie AD 1996-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasad:1996-11

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    References listed on IDEAS

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    3. Herrero, Carmen & Villar, Antonio, 1991. "Vector mappings with diagonal images," Mathematical Social Sciences, Elsevier, vol. 22(1), pages 57-67, August.
    4. Corchon, Luis C. & Gonzalez-Maestre, Miguel, 2000. "On the competitive effects of divisionalization," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 71-79, January.
    5. Mirman, Leonard J & Samuelson, Larry & Urbano, Amparo, 1993. "Monopoly Experimentation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(3), pages 549-563, August.
    6. Nikolai S. Kukushkin, 1993. "Cournot Oligopoly With "Almost" Identical Convex Costs," Working Papers. Serie AD 1993-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    7. Luis Corchón & Simon Wilkie, 1990. "Doubly implementing the ratio correspondence with a "natural" mechanism," Working Papers. Serie AD 1990-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    8. Marhuenda, F, 1995. "Distribution of Income and Aggregation of Demand," Econometrica, Econometric Society, vol. 63(3), pages 647-666, May.
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    Cited by:

    1. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.


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