Garch Models

suit of clothes 4 - experiment Answers APS 425 - march on Managerial entropy Analysis APS 425 elusion 4 winter 2008 Sample A S l Answers 3/11/2008 Instructor: G Willi Schwert I G. William S h 585-275-2470 schwert@schwert.ssb.rochester.edu GARCH(1,1) exemplification for S&P500 Typical GARCH(1,1) Lots of persistence .07 .06 .05 .04 .03 .02 .01 .00 curtilage 2000 3000 4000 5000 conditional standard deviation (c) Prof. G. William Schwert, 2003-2008 1 Case 4 - Sample Answers APS 425 - Advanced Managerial entropy Analysis EGARCH(1,1) forge for S&P500 Asymmetric coefficient, c(4) is negative, so crashes => more volatility .06 .05 .04 04 .03 .02 .01 .00 1000 2000 3000 4000 5000 conditional standard deviation EGARCH(1,1) Model for S&P500 2000-2008 Results are for sure y affected by 87 crash, but oecumenic tenor is similar .030 .025 .020 .015 .010 .005 .000 3750 4000 4250 4500 4750 5000 5250 5500 Conditional standard deviation (c) Prof. G. William Schwert, 2003-2008 2 Case 4 - Sample Answers APS 425 - Advanced Managerial entropy Analysis dapple EGARCH(1,1) Estimate of Conditional SD vs VIX sd01 = sqr(253*GARCH01), where GARCH01 is the estimate of the stochastic variable of the daily melodic phrase return Note that VIX run acrosss generally higher than EGARCH for most of these periods .5 5 .4 .3 .

2 .1 .0 3750 4000 4250 4500 4750 5000 5250 5500 SD01 VIX concur VIX with EGARCH (1,1) Model for S&P500 Include yesterdays VIX y y (squared, divided by 253) in the equation to forestall at onces variance of returns Coefficient is ..29, and tstat is 4.1 Suggests that VIX contains inform ation beyond the EGARCH model (c) Prof. G! . William Schwert, 2003-2008 3 Case 4 - Sample Answers APS 425 - Advanced Managerial Data Analysis confidence VIX with EGARCH (1,1) Model for S&P500 - Diagnostics equilibrium nosology look ethical g g confidence VIX with EGARCH (1,1) Model for S&P500 - Diagnostics Residual diagnostics look good 500 Series: Standardized Residuals Sample...If you want to hinge upon a full essay, order it on our website: OrderEssay.net

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