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...
Main Authors: | David E. Allen, Michael McAleer |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-02-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/8/1/12 |
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