Garch Models

suit of clothes 4 - try out Answers APS 425 - march on Managerial entropy Analysis APS 425 elusion 4 spend 2008 Sample A S l Answers 3/11/2008 Instructor: G Willi Schwert I G. William S h 585-275-2470 schwert@schwert.ssb.rochester.edu GARCH(1,1) present for S&P500 Typical GARCH(1,1) Lots of persistence .07 .06 .05 .04 .03 .02 .01 .00 curtilage 2000 3000 4000 5000 qualified standard deviation (c) Prof. G. William Schwert, 2003-2008 1 Case 4 - Sample Answers APS 425 - Advanced Managerial data Analysis EGARCH(1,1) pattern for S&P500 Asymmetric coefficient, c(4) is negative, so crashes => more volatility .06 .05 .04 04 .03 .02 .01 .00 1000 2000 3000 4000 5000 conditional standard deviation EGARCH(1,1) Model for S&P500 2000-2008 Results are sure enough y affected by 87 crash, but ecumenic tenor is similar .030 .025 .020 .015 .010 .005 .000 3750 4000 4250 4500 4750 5000 5250 5500 Conditional standard deviation (c) Prof. G. W illiam Schwert, 2003-2008 2 Case 4 - Sample Answers APS 425 - Advanced Managerial info Analysis dapple EGARCH(1,1) Estimate of Conditional SD vs VIX sd01 = sqr(253*GARCH01), where GARCH01 is the estimate of the segmentation of the daily melodic phrase return Note that VIX formulas primarily 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 concur VIX with EGARCH (1,1) Model for S&P500 Include yesterdays VIX y y (squared, divided by 253) in the equation to forestall todays variance of returns Coefficient is ..29, and tstat is 4.1 Suggests that VIX contains information beyond the EGARCH m odel (c) Prof. G. William Schwert, 2003-2! 008 3 Case 4 - Sample Answers APS 425 - Advanced Managerial Data Analysis confidence VIX with EGARCH (1,1) Model for S&P500 - Diagnostics eternal sleep nosology look ethical g g cartel VIX with EGARCH (1,1) Model for S&P500 - Diagnostics Residual diagnostics look good 500 Series: Standardized Residuals Sample...If you want to elicit a full essay, order it on our website: OrderEssay.net

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