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• W1978984979 abstract "We employ four various GARCH-type models, incorporating the skewed generalized t (SGT) errors into those returns innovations exhibiting fat-tails, leptokurtosis and skewness to forecast both volatility and value-at-risk (VaR) for Standard & Poor's Depositary Receipts (SPDRs) from 2002 to 2008. Empirical results indicate that the asymmetric EGARCH model is the most preferable according to purely statistical loss functions. However, the mean mixed error criterion suggests that the EGARCH model facilitates option buyers for improving their trading position performance, while option sellers tend to favor the IGARCH/EGARCH model at shorter/longer trading horizon. For VaR calculations, although these GARCH-type models are likely to over-predict SPDRs' volatility, they are, nevertheless, capable of providing adequate VaR forecasts. Thus, a GARCH genre of model with SGT errors remains a useful technique for measuring and managing potential losses on SPDRs under a turbulent market scenario." @default.
• W1978984979 created "2016-06-24" @default.
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• W1978984979 date "2012-04-01" @default.
• W1978984979 modified "2023-10-01" @default.
• W1978984979 title "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures" @default.
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• W1978984979 doi "https://doi.org/10.1016/j.iref.2011.08.007" @default.
• W1978984979 hasPublicationYear "2012" @default.
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