ARCH Models for Financial Applications (eBook)

Evdokia Xekalaki, Stavros Degiannakis (Autoren)

eBook Download: PDF

2010 | 1. Auflage
558 Seiten
John Wiley & Sons (Verlag)
978-0-470-68802-1 (ISBN)

Infos

Autoregressive Conditional Heteroskedastic (ARCH) processes are
used in finance to model asset price volatility over time. This
book introduces both the theory and applications of ARCH models and
provides the basic theoretical and empirical background, before
proceeding to more advanced issues and applications. The Authors
provide coverage of the recent developments in ARCH modelling which
can be implemented using econometric software, model construction,
fitting and forecasting and model evaluation and selection.

Key Features:

* Presents a comprehensive overview of both the theory and the
practical applications of ARCH, an increasingly popular financial
modelling technique.

* Assumes no prior knowledge of ARCH models; the basics such as
model construction are introduced, before proceeding to more
complex applications such as value-at-risk, option pricing and
model evaluation.

* Uses empirical examples to demonstrate how the recent
developments in ARCH can be implemented.

* Provides step-by-step instructive examples, using econometric
software, such as Econometric Views and the G@RCH module for the Ox
software package, used in Estimating and Forecasting ARCH
Models.

* Accompanied by a CD-ROM containing links to the software as
well as the datasets used in the examples.

Aimed at readers wishing to gain an aptitude in the applications
of financial econometric modelling with a focus on practical
implementation, via applications to real data and via examples
worked with econometrics packages.

Autor

Evdokia Xekalaki, Department of Statistics, Athens University of Economics and Business Professor Xekalaki has been teaching for nearly 30 years, and in that time has held such positions as Director of the graduate program, consultant to EUROSTAT and twice Chair of the Dept of Statistics at AUEB. She has published more than 50 papers in numerous international journals and has presented papers at many international conferences. She is also the Chief Editor of the journal Quality Technology and Quantitative Management and on the Editorial Board for the Journal of Applied Stochastic Models in Business and Industry. Stavros Degiannakis, Department of Statistics, Athens University of Economics and Business Adjunct lecturer in applied econometrics, Dr Degiannakis acquired his PhD last year, and has already had eight articles published in seven journals, and eight other papers presented at a variety of international conferences.

Inhalt

Prologue.

Notation.

1 What is an ARCH process?

1.1 Introduction.

1.2 The Autoregressive Conditionally
Heteroskedastic 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.

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.

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.

4 Volatility Forecasting: An Empirical Example Using EViews
6.

4.1 One-step-ahead Volatility Forecasting.

4.2 Ten-step-ahead Volatility Forecasting.

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.

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

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.

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.

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.

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.

11 Multivariate ARCH Models.

11.1 Model Specifications.

11.2 Maximum Likelihood Estimation.

11.3 Estimating Multivariate ARCH Models Using EViews 6.

11.4 Estimating Multivariate ARCH Models Using G@RCH 5.0.

11.5 Evaluation of Multivariate ARCH Models.

References.

Author Index.

Subject Index.

Rezensionen

"Numerous articles on the Autoregressive Conditional
Heteroskedastic (ARCH) process, an increasingly popular financial
modeling technique, exist in various international journals. Now
Xekalaki and Degiannakis (both statistics, Athens U. of Economics
and Business, Greece) provide a thorough treatment of the ARCH
theory and its practical applications, in a textbook for
postgraduate and final-year undergraduate students which could
serve as reference work for academics and financial market
professionals." (Book News Inc, November 2010)

Produkt-Details

• Erscheint lt. Verlag: 18.3.2010
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Finanztechnik • Finanz- u. Wirtschaftsstatistik • Probability & Mathematical Statistics • Statistics • Statistics for Finance, Business & Economics • Statistik • Wahrscheinlichkeitsrechnung u. mathematische Statistik • Wirtschaftsstatistik
• ISBN-10: 0-470-68802-5 / 0470688025
• ISBN-13: 978-0-470-68802-1 / 9780470688021