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Modelling conditional heteroskedasticity: Application to stock return lndex "IBEX-35

Author

Listed:
  • Ángel León Valle

    (Universidad de Alicante)

  • Juan Mora López

    (Universidad de Alicante)

Abstract

This paper compares alternative time-varying volatility models for daily stock-returns using data from Spanish equity index IBEX-35. Specifically, we have estimated a parametric family of models of generalized autoregressive heteroskedasticity (which nests the most popular symmetric and asymmetric GARCH models, a semiparametric GARCH model, the stochastic volatility model SV(l), the Poisson jump diffusion process and finally, a non-parametric mode!. We obtain that those models which use conditional standard deviation produce better fits than all other GARCH models. We also compare all models using a standard efficiency test (which compares within sample predictive power and conclude that general GARCH models (specifically the TGARCH(1,ll model perform better than all others.

Suggested Citation

  • Ángel León Valle & Juan Mora López, 1996. "Modelling conditional heteroskedasticity: Application to stock return lndex "IBEX-35," Working Papers. Serie AD 1996-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasad:1996-11
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    File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-1996-11.pdf
    File Function: Fisrt version / Primera version, 1996
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    Cited by:

    1. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.

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