Please use this identifier to cite or link to this item:
doi:10.22028/D291-26219
Title: | A simple non-stationary model for stock returns |
Author(s): | Drees, Holger Starica, Catalin |
Language: | English |
Year of Publication: | 2002 |
Free key words: | distributional forecasts GARCH process |
DDC notations: | 510 Mathematics |
Publikation type: | Other |
Abstract: | The aim of the present peper is to show the example of the S&P 500 return series that a simple non-stationary model seem to fit the data significantly better than conventional GARCH-type models outperforming them also in forecasting the distribution of tomorrow's return. Instead of a complex endogenous specification of the conditional variance, we assume that the volatility dynamics is exogenous. Since no obvious canadidates explanatory exogenous variables are at hand, we model the volatility as deterministic. This approach leads to a structurally simple regression-type model. Special attention is paid to the accurate descripion of the tails of the innovations. |
Link to this record: | urn:nbn:de:bsz:291-scidok-43946 hdl:20.500.11880/26275 http://dx.doi.org/10.22028/D291-26219 |
Series name: | Preprint / Fachrichtung Mathematik, Universität des Saarlandes |
Series volume: | 69 |
Date of registration: | 2-Dec-2011 |
Faculty: | MI - Fakultät für Mathematik und Informatik |
Department: | MI - Mathematik |
Collections: | SciDok - Der Wissenschaftsserver der Universität des Saarlandes |
Files for this record:
File | Description | Size | Format | |
---|---|---|---|---|
preprint_69_02.pdf | 860,58 kB | Adobe PDF | View/Open |
Items in SciDok are protected by copyright, with all rights reserved, unless otherwise indicated.