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Asymmetry, realised volatility and stock return risk estimates

2012-08Journal article Restricted access
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dc.contributor.authorGrané, Aurea
dc.contributor.authorVeiga, Helena
dc.date.accessioned2018-06-21T14:46:22Z
dc.date.available2018-06-21T14:46:22Z
dc.date.issued2012-08
dc.description.abstractIn this paper we estimate minimum capital risk requirements for short and long positions with 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. We also address the problem of the extremely high estimated persistence of the GARCH model to generate observed volatility patterns by including realised volatility as an explanatory variable into the model’s variance equation. The results suggest that the inclusion of realised volatility improves the GARCH forecastability as well as its ability to calculate accurate minimum capital risk requirements and makes it quite competitive when compared with asymmetric conditional heteroscedastic models such as the GJR and the EGARCH.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationGrané, Aurea e Helena Veiga (2012). "Asymmetry, realised volatility and stock return risk estimates". Portuguese Economic Journal, 11(2):147-164pt_PT
dc.identifier.doi10.1007/s10258-012-0081-8pt_PT
dc.identifier.issn1617-982X (print)
dc.identifier.issn1617-9838 (online)
dc.identifier.urihttp://hdl.handle.net/10400.5/15684
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringer Verlagpt_PT
dc.subjectAsymmetrypt_PT
dc.subjectHigh-frequency datapt_PT
dc.subjectMinimum capital risk requirementspt_PT
dc.subjectRealised volatilitypt_PT
dc.titleAsymmetry, realised volatility and stock return risk estimatespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.conferencePlaceLisboapt_PT
oaire.citation.endPage164pt_PT
oaire.citation.issue2pt_PT
oaire.citation.startPage147pt_PT
oaire.citation.titlePortuguese Economic Journalpt_PT
oaire.citation.volume11pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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Portuguese Economic Journal, 2012, Volume 11, Nº 2