Download this Paper Open PDF in Browser

One-Factor-GARCH Models for German Stocks - Estimation and Forecasting

Tuebinger Diskussionsbeitraege No. 87

53 Pages Posted: 1 Feb 1997  

Thomas Kaiser

University of Tuebingen - Faculty of Economics and Business Administration

Date Written: December 17, 1996

Abstract

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution) are considered. Out-of-sample forecasts for the stock returns based upon these models are computed. These forecasts are compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential smoothing forecasts.

JEL Classification: C32, G12

Suggested Citation

Kaiser, Thomas, One-Factor-GARCH Models for German Stocks - Estimation and Forecasting (December 17, 1996). Tuebinger Diskussionsbeitraege No. 87. Available at SSRN: https://ssrn.com/abstract=1063 or http://dx.doi.org/10.2139/ssrn.1063

Thomas Kaiser (Contact Author)

University of Tuebingen - Faculty of Economics and Business Administration ( email )

Mohlstrasse 36
D-72074 Tuebingen, 72074
Germany
+49-7071-2978165 (Phone)
+49-7071-295546 (Fax)

Paper statistics

Downloads
1,161
Rank
14,013
Abstract Views
2,644