1. Auflage - April 2010
ca. 79,90 Euro
2010. 560 Seiten, Hardcover
ISBN-10: 0-470-06630-X
ISBN-13: 978-0-470-06630-0 - John Wiley & Sons

Preis inkl. Mehrwertsteuer zzgl. Versandkosten.







Kurzbeschreibung
ARCH Models for Financial Applications provides background on the theory of ARCH models, with a focus on practical implementation via applications to real data and examples worked with econometrics packages. The interactional exposition of the ARCH theory, and its implementation in practice that the authors adopt, helps readers get a deeper understanding of the models and their use as tools in applied financial contexts. Intended for readers seeking an aptitude in the applications of financial econometric modeling, this book requires only a basic knowledge of econometrics and basic undergraduate-level statistics.

Aus dem Inhalt
Prologue

Symbols and Operators


Chapter 1: What is an ARCH process?

1.1 Introduction

1.2 The Autoregressive Conditionally Heteroskedastic (ARCH) 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 and Conditional Mean


Chapter 2: ARCH Volatility Specifications

2.1 Model Specifications

2.2 Methods of Estimation

2.3. Estimating the GARCH Model with EViews 6 - An Empirical Example.

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


Chapter 3: Fractionally Integrated ARCH Models

3.1 Fractionally Integrated ARCH Model Specifications

3.2 Estimating Fractionally Integrated ARCH Models Using G@RCH 4.2 OxMetrics - An Empirical Example

3.3 A More Detailed Investigation of the Normality of the Standardized Residuals - Goodness-of-fit Tests


Chapter 4: Volatility Forecasting: An Empirical Example Using EViews 6

4.1 One-step-ahead Volatility Forecasting

4.2 Ten-step-ahead Volatility Forecasting


Chapter 5: Other Distributional Assumptions

5.1 Non-Normally Distributed Standardized Innovations

5.2 Estimating ARCH Models with Non-Normally Distributed Standardized Innovations Using G@RCH 4.2 OxMetrics - An Empirical Example

5.3 Estimating ARCH Models with Non-Normally Distributed Standardized Innovations Using EViews 6 - An Empirical Example

5.4 Estimating ARCH Models with Non-Normally Distributed Standardized Innovations Using EViews 6 - The LogL Object


Chapter 6: Volatility Forecasting: An Empirical Example Using G@RCH Ox

6.1 One-step-ahead Volatility Forecasting


Chapter 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@RCH 4.2 OxMetrics - An Empirical example


Chapter 8: Applications in Value-at-Risk, Expected Shortfalls, Options Pricing

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 Expected Shortfall Forecasting

8.4 Multi-period Value-at-Risk and Expected Shortfalls Forecasting

8.5 ARCH Volatility Forecasts in Black and Scholes Option Pricing

8.6 ARCH Option Pricing Formulas


Chapter 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


Chapter 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 Model Selection.

10.4 The SPA Test for VaR and Expected Shortfalls


Chapter 11: Multivariate ARCH Models

11.1 Model Specifications

11.2 Maximum Likelihood Estimation

11.3 Estimating Multivariate ARCH Models Using EViews 6.0.

11.4 Estimating Multivariate ARCH Models Using G@RCH 5.0.

11.5 Evaluation of Multivariate ARCH Models.


References

Appendices

Author Index

Subject Index