IDEAS home Printed from https://ideas.repec.org/p/zbw/zewdip/9407.html
   My bibliography  Save this paper

Volatilitätsprognosen für deutsche Aktienkurse mit ARCH- und Markov-Mischungsmodellen

Author

Listed:
  • Schmitt, Christian

Abstract

In dieser Untersuchung wird gezeigt, wie neuere ökonometrische Verfahren zur Modellierung und Prognose von Volatilitäten auf Aktienmärkten eingesetzt werden können. Hierzu werden verschiedene Varianten aus der Klasse der ARCH Modelle und das Markov-Mischungsmodell herangezogen. Die Datenbasis stellen tägliche Renditen des Deutschen Aktienindex (DAX) und von elf DAX-Werten der Jahre 1987 bis 1992 da. Es zeigt sich, daß das EGARCH Modell dem historischen Volatilitätsschätzer, der von einer konstanten Varianz ausgeht, bei der Prognose von Volatilitäten überlegen ist.

Suggested Citation

  • Schmitt, Christian, 1994. "Volatilitätsprognosen für deutsche Aktienkurse mit ARCH- und Markov-Mischungsmodellen," ZEW Discussion Papers 94-07, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:9407
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/29479/1/257140646.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:9407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/zemande.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.