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• W1539448544 abstract "In this paper, we estimate minimum capital risk requirements for short, long positions and three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility to price changes; and, most importantly, we analyse the models performance when realised volatility is included as an explanatory variable into the models' variance equations. The results suggest that the inclusion of realised volatility improves the models forecastability and their capacity to calculate accurate measures of minimum capital risk requirements." @default.
• W1539448544 created "2016-06-24" @default.
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• W1539448544 date "2007-09-01" @default.
• W1539448544 modified "2023-09-27" @default.
• W1539448544 title "The effect of realised volatility on stock returns risk estimates" @default.
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• W1539448544 hasPublicationYear "2007" @default.
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