Xekalaki / Degiannakis ARCH Models for Financial Applications

1. Auflage 2010
ISBN: 978-0-470-68802-1
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 558 Seiten, E-Book

Autoregressive Conditional Heteroskedastic (ARCH) processes areused in finance to model asset price volatility over time. Thisbook introduces both the theory and applications of ARCH models andprovides the basic theoretical and empirical background, beforeproceeding to more advanced issues and applications. The Authorsprovide coverage of the recent developments in ARCH modelling whichcan be implemented using econometric software, model construction,fitting and forecasting and model evaluation and selection.
Key Features:
* Presents a comprehensive overview of both the theory and thepractical applications of ARCH, an increasingly popular financialmodelling technique.
* Assumes no prior knowledge of ARCH models; the basics such asmodel construction are introduced, before proceeding to morecomplex applications such as value-at-risk, option pricing andmodel evaluation.
* Uses empirical examples to demonstrate how the recentdevelopments in ARCH can be implemented.
* Provides step-by-step instructive examples, using econometricsoftware, such as Econometric Views and the G@RCH module for the Oxsoftware package, used in Estimating and Forecasting ARCHModels.
* Accompanied by a CD-ROM containing links to the software aswell as the datasets used in the examples.
Aimed at readers wishing to gain an aptitude in the applicationsof financial econometric modelling with a focus on practicalimplementation, via applications to real data and via examplesworked with econometrics packages.

Autoren/Hrsg.

Xekalaki, Evdokia

Degiannakis, Stavros

Inhaltsverzeichnis

Prologue.
Notation.
1 What is an ARCH process?
1.1 Introduction.
1.2 The Autoregressive ConditionallyHeteroskedastic Process.
1.3 The Leverage Effect.
1.4 The Non-trading Period Effect.
1.5 Non-synchronous Trading Effect.
1.6 The Relationship between Conditional Variance andConditional Mean.
2 ARCH Volatility Specifications.
2.1 Model Specifications.
2.2 Methods of Estimation.
2.3. Estimating the GARCH Model with EViews 6: An EmpiricalExample..
2.4. Asymmetric Conditional Volatility Specifications.
2.5. Simulating ARCH Models Using EViews.
2.6. Estimating Asymmetric ARCH Models with G@RCH 4.2 OxMetrics- An Empirical Example..
2.7. Misspecification Tests.
2.8 Other ARCH Volatility Specifications.
2.9 Other Methods of Volatility Modeling.
2.10 Interpretation of the ARCH Process.
3 Fractionally Integrated ARCH Models.
3.1 Fractionally Integrated ARCH Model Specifications.
3.2 Estimating Fractionally Integrated ARCH Models Using G@RCH4.2 OxMetrics - An Empirical Example.
3.3 A More Detailed Investigation of the Normality of theStandardized Residuals - Goodness-of-fit Tests.
4 Volatility Forecasting: An Empirical Example Using EViews6.
4.1 One-step-ahead Volatility Forecasting.
4.2 Ten-step-ahead Volatility Forecasting.
5 Other Distributional Assumptions.
5.1 Non-Normally Distributed Standardized Innovations.
5.2 Estimating ARCH Models with Non-Normally DistributedStandardized Innovations Using G@RCH 4.2 OxMetrics - AnEmpirical Example.
5.3 Estimating ARCH Models with Non-Normally DistributedStandardized Innovations Using EViews 6 - An EmpiricalExample.
5.4 Estimating ARCH Models with Non-Normally DistributedStandardized Innovations Using EViews 6 - The LogLObject.
6 Volatility Forecasting: An Empirical Example Using G@RCHOx.
7 Intra-Day Realized Volatility Models.
7.1 Realized Volatility.
7.2 Intra-Day Volatility Models.
7.3 Intra-Day Realized Volatility & ARFIMAX Models in G@RCH4.2 OxMetrics - An Empirical example.
8 Applications in Value-at-Risk, Expected Shortfalls, OptionsPricing.
8.1 One-day-ahead Value-at-Risk Forecasting.
8.2 One-day-ahead Expected Shortfalls Forecasting.
8.3 FTSE100 Index: One-step-ahead Value-at-Risk and ExpectedShortfall Forecasting.
8.4 Multi-period Value-at-Risk and Expected ShortfallsForecasting.
8.5 ARCH Volatility Forecasts in Black and Scholes OptionPricing.
8.6 ARCH Option Pricing Formulas.
9 Implied Volatility Indices and ARCH Models.
9.1 Implied Volatility.
9.2 The VIX Index.
9.3 The Implied Volatility Index as an Explanatory Variable.
9.4 ARFIMAX Modeling for Implied Volatility Index.
10 ARCH Model Evaluation and Selection.
10.1 Evaluation of ARCH Models.
10.2 Selection of ARCH Models.
10.3 Application of Loss Functions as Methods of ModelSelection..
10.4 The SPA Test for VaR and Expected Shortfalls.
11 Multivariate ARCH Models.
11.1 Model Specifications.
11.2 Maximum Likelihood Estimation.
11.3 Estimating Multivariate ARCH Models Using EViews 6.
11.4 Estimating Multivariate ARCH Models Using G@RCH 5.0.
11.5 Evaluation of Multivariate ARCH Models.
References.
Author Index.
Subject Index.