Garch Models

suit of clothes 4 - seek Answers APS 425 - march on managerial entropy Analysis APS 425 miscue 4 Winter 2008 Sample A S l Answers 3/11/2008 teacher: G Willi Schwert I G. William S h 585-275-2470 schwert@schwert.ssb.rochester.edu GARCH(1,1) modelling for S&P500 normal GARCH(1,1) Lots of persistence .07 .06 .05 .04 .03 .02 .01 .00 curtilage 2000 3000 4000 5000 qualified tired deviation (c) Prof. G. William Schwert, 2003-2008 1  lesson 4 - Sample Answers APS 425 - good managerial Data Analysis EGARCH(1,1) Model for S&P500 Asymmetric coefficient, c(4) is negative, so crashes => more than 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 ar certainly y affected by 87 crash, precisely 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) gauge of Conditional SD vs VIX sd01 = sqr(253*GARCH01), where GARCH01 is the estimate of the division of the daily melodic develop 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 jibe VIX with EGARCH (1,1) Model for S&P500 entangle yesterdays VIX y y (squared, divided by 253) in the equation to forebode todays mutant 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 corporate trust VIX with EGARCH (1,1) Model for S&P500 - Diagnostics balance wheel nosology look estimable g g Combine VIX with EGARCH (1,1) Model for S&P500 - Diagnostics Residual diagnostics look good 500 series: Standardized Residuals Sample...If you want to shake a full essay, regularise it on our website: Orderessay

If you want to get a full information about our service, visit our page: How it works.