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ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -

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  • Jacobi, Frank

Abstract

Das in Finanzmarktdaten zu beobachtende volatility-clustering impliziert, daß große Renditeschocks bei der Preisbildung die Wahrscheinlichkeit einer hohen zukünftigen Volatilität steigern. Ausgehend von den von Engle (1982) vorgeschlagenen ARCH-Modellen hat sich eine ganze Reihe von Modellvarianten zur Modellierung und Prognose bedingter Varianzen entwickelt. In dieser Analyse werden ARCH-Modelle und ausgewählte Erweiterungen hinsichtlich ihrer Eignung zur Modellierung und Prognose bedingter Varianzen im DAX miteinander verglichen.

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  • Jacobi, Frank, 2005. "ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -," Arbeitspapiere des Instituts für Statistik und Ökonometrie 31, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
  • Handle: RePEc:zbw:maista:31
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