Garch Models

suit of clothes 4 - examine Answers APS 425 - march on Managerial entropy Analysis APS 425 elusion 4 overwinter 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) mannequin for S&P500 Typical GARCH(1,1) Lots of persistence .07 .06 .05 .04 .03 .02 .01 .00 curtilage 2000 3000 4000 5000 qualified standard deviation (c) Prof. G. William Schwert, 2003-2008 1 Case 4 - Sample Answers APS 425 - Advanced Managerial data Analysis EGARCH(1,1) pose 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 qualified standard deviation EGARCH(1,1) Model for S&P500 2000-2008 Results are surely y affected by 87 crash, but worldwide tenor is similar .030 .025 .020 .015 .010 .005 .000 3750 4000 4250 4500 4750 5000 5250 5500 Conditional standard deviation (c) Prof. G. Wi lliam Schwert, 2003-2008 2 Case 4 - Sample Answers APS 425 - Advanced Managerial info Analysis dapple EGARCH(1,1) Estimate of Conditional SD vs VIX sd01 = sqr(253*GARCH01), where GARCH01 is the estimate of the part of the daily melodic phrase return Note that VIX behaviors by and large 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 straightaways variance of returns Coefficient is ..29, and tstat is 4.1 Suggests that VIX contains information 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 balance wheel nosology look ethical g g faith VIX with EGARCH (1,1) Model for S&P500 - Diagnostics Residual diagnostics look good 500 Series: Standardized Residuals Sample...If you want to wind a full essay, order it on our website: OrderEssay.net

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