Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE

Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken from...

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Bibliographic Details
Main Authors: David E. Allen, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Risks
Subjects:
stochastic volatility
garch (1,1)
ftse
rv 5 min
har model
demeaned daily squared returns.
Online Access:https://www.mdpi.com/2227-9091/8/1/12

Internet

https://www.mdpi.com/2227-9091/8/1/12

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