Naslov
DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM

Autori
Rozga, Ante ; Arnerić Josip

Izvornik
Investigación operacional (0257-4306) 30 (2009), 1; 32-39

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Volatility persistence; kurtosis; alternative risk measures; degrees of freedom

Sažetak
In this paper the dependence between volatility persistence, kurtosis and degrees of freedom from Student’ s t-distribution will be presented in estimation alternative risk measures on simulated returns. As the most used measure of market risk is standard deviation of returns, i.e. volatility. However, based on volatility alternative risk measures can be estimated, for example Value-at-Risk (VaR). There are many methodologies for calculating VaR, but for simplicity they can be classified into parametric and nonparametric models. In category of parametric models the GARCH(p, q) model is used for modeling time-varying variance of returns.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA