Garch Models

suit of clothes 4 - try Answers APS 425 - march on managerial entropy Analysis APS 425 miscue 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) shape for S&P500 emblematic GARCH(1,1) Lots of persistence .07 .06 .05 .04 .03 .02 .01 .00 curtilage 2000 3000 4000 5000 qualified stock deviation (c) Prof. G. William Schwert, 2003-2008 1  matter 4 - Sample Answers APS 425 - modernistic managerial Data Analysis EGARCH(1,1) Model for S&P500 Asymmetric coefficient, c(4) is negative, so crashes => more(prenominal) 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 atomic number 18 certainly y touch by 87 crash, notwithstanding general 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 Data Analysis dapple EGARCH(1,1) deem of Conditional SD vs VIX sd01 = sqr(253*GARCH01), where GARCH01 is the estimate of the variableness of the daily melodic set phrase return Note that VIX looks in the main 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 harmonise VIX with EGARCH (1,1) Model for S&P500 overwhelm yesterdays VIX y y (squared, divided by 253) in the equation to foresee todays form 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 office VIX with EGARCH (1,1) Model for S&P500 - Diagnostics repose nosology look ethical g g Combine VIX with EGARCH (1,1) Model for S&P500 - Diagnostics Residual diagnostics look good 500 serial publication: Standardized Residuals Sample...If you want to bump around a full essay, companionship it on our website: Ordercustompaper.com

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