Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/5541
Autoria: | Curto, J. Pinto, J. C. Tavares, G. N. |
Data: | 2009 |
Título próprio: | Modeling stock markets' volatility using GARCH models with normal, student's t and stable paretian distributions |
Volume: | 50 |
Número: | 2 |
Paginação: | 311 - 321 |
Referência bibliográfica: | Curto, J., Pinto, J. C., & Tavares, G. N. (2009). Modeling stock markets' volatility using GARCH models with normal, student's t and stable paretian distributions. Statistical Papers. 50 (2), 311-321. https://dx.doi.org/10.1007/s00362-007-0080-5 |
ISSN: | 0932-5026 |
DOI (Digital Object Identifier): | 10.1007/s00362-007-0080-5 |
Palavras-chave: | Non-Gaussian distributions Conditional heteroskedasticity |
Resumo: | As GARCH models and stable Paretian distributions have been revisited in the recent past with the papers of Hansen and Lunde (J Appl Econom 20: 873–889, 2005) and Bidarkota and McCulloch (Quant Finance 4: 256–265, 2004), respectively, in this paper we discuss alternative conditional distributional models for the daily returns of the US, German and Portuguese main stock market indexes, considering ARMA-GARCH models driven by Normal, Student’s t and stable Paretian distributed innovations. We find that a GARCH model with stable Paretian innovations fits returns clearly better than the more popular Normal distribution and slightly better than the Student’s t distribution. However, the Student’s t outperforms the Normal and stable Paretian distributions when the out-of-sample density forecasts are considered. |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
article_10191.pdf | Pós-print | 272,29 kB | Adobe PDF | Ver/Abrir |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.