Matches in SemOpenAlex for { <https://semopenalex.org/work/W2000635486> ?p ?o ?g. }
Showing items 1 to 64 of
64
with 100 items per page.
- W2000635486 abstract "This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a leverage term to model the asymmetric response of volatility to shocks. Model specification and estimation is performed within a Bayesian framework using Markov Chain Monte Carlo simulation methods. Model diagnostics document a good fit of the switching ARCH model. The persistence of shocks in volatility coming from the autoregressive conditional part of the variance is considerably lower than that obtained using a GARCH(1,1) model. Our volatility estimate closely follows market implied volatility. When we compare the forecasting performance, switching ARCH turns out to be an unbiased estimator of realized volatility. Nevertheless, over all forecast horizons, model-based volatility forecasts do not add information about future volatility. Up to a 7-day horizon, market implied volatility already contains nearly all information." @default.
- W2000635486 created "2016-06-24" @default.
- W2000635486 creator A5015807533 @default.
- W2000635486 creator A5090370596 @default.
- W2000635486 date "2006-01-04" @default.
- W2000635486 modified "2023-10-14" @default.
- W2000635486 title "A Switching ARCH Model for the German DAX Index" @default.
- W2000635486 doi "https://doi.org/10.2202/1558-3708.1290" @default.
- W2000635486 hasPublicationYear "2006" @default.
- W2000635486 type Work @default.
- W2000635486 sameAs 2000635486 @default.
- W2000635486 citedByCount "12" @default.
- W2000635486 countsByYear W20006354862012 @default.
- W2000635486 countsByYear W20006354862016 @default.
- W2000635486 crossrefType "journal-article" @default.
- W2000635486 hasAuthorship W2000635486A5015807533 @default.
- W2000635486 hasAuthorship W2000635486A5090370596 @default.
- W2000635486 hasConcept C101104100 @default.
- W2000635486 hasConcept C117996083 @default.
- W2000635486 hasConcept C13290067 @default.
- W2000635486 hasConcept C149782125 @default.
- W2000635486 hasConcept C159877910 @default.
- W2000635486 hasConcept C162324750 @default.
- W2000635486 hasConcept C21430997 @default.
- W2000635486 hasConcept C23922673 @default.
- W2000635486 hasConcept C24189920 @default.
- W2000635486 hasConcept C2776142675 @default.
- W2000635486 hasConcept C44731940 @default.
- W2000635486 hasConcept C85393063 @default.
- W2000635486 hasConcept C89218465 @default.
- W2000635486 hasConcept C91602232 @default.
- W2000635486 hasConceptScore W2000635486C101104100 @default.
- W2000635486 hasConceptScore W2000635486C117996083 @default.
- W2000635486 hasConceptScore W2000635486C13290067 @default.
- W2000635486 hasConceptScore W2000635486C149782125 @default.
- W2000635486 hasConceptScore W2000635486C159877910 @default.
- W2000635486 hasConceptScore W2000635486C162324750 @default.
- W2000635486 hasConceptScore W2000635486C21430997 @default.
- W2000635486 hasConceptScore W2000635486C23922673 @default.
- W2000635486 hasConceptScore W2000635486C24189920 @default.
- W2000635486 hasConceptScore W2000635486C2776142675 @default.
- W2000635486 hasConceptScore W2000635486C44731940 @default.
- W2000635486 hasConceptScore W2000635486C85393063 @default.
- W2000635486 hasConceptScore W2000635486C89218465 @default.
- W2000635486 hasConceptScore W2000635486C91602232 @default.
- W2000635486 hasIssue "4" @default.
- W2000635486 hasLocation W20006354861 @default.
- W2000635486 hasOpenAccess W2000635486 @default.
- W2000635486 hasPrimaryLocation W20006354861 @default.
- W2000635486 hasRelatedWork W1485524183 @default.
- W2000635486 hasRelatedWork W2071642288 @default.
- W2000635486 hasRelatedWork W2078395651 @default.
- W2000635486 hasRelatedWork W2244904256 @default.
- W2000635486 hasRelatedWork W2356447422 @default.
- W2000635486 hasRelatedWork W2531172836 @default.
- W2000635486 hasRelatedWork W2623427309 @default.
- W2000635486 hasRelatedWork W2989642418 @default.
- W2000635486 hasRelatedWork W3171090817 @default.
- W2000635486 hasRelatedWork W4248433041 @default.
- W2000635486 hasVolume "10" @default.
- W2000635486 isParatext "false" @default.
- W2000635486 isRetracted "false" @default.
- W2000635486 magId "2000635486" @default.
- W2000635486 workType "article" @default.