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

  • Jacobi, Frank
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    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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    Paper provided by Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie in its series Arbeitspapiere des Instituts für Statistik und Ökonometrie with number 31.

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    Date of creation: 2005
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    Handle: RePEc:zbw:maista:31
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    1. Schoffer, Olaf, 2000. "Ist die Hebelwirkung der Grund für Asymmetrie in ARCH- und GARCH-Modellen?," Technical Reports 2000,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    3. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
    4. Daniel B. Nelson & Dean P. Foster, 1994. "Asypmtotic Filtering Theory for Univariate Arch Models," NBER Technical Working Papers 0129, National Bureau of Economic Research, Inc.
    5. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
    6. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    7. HÄRDLE, Wolfgang & HAFNER, Christian, 1997. "Discrete time option pricing with flexible volatility estimation," CORE Discussion Papers 1997047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    9. Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc.
    10. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    11. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
    12. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
    13. Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc.
    14. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
    15. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
    16. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
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