Rolling-Sampled Parameters of ARCH and Levy-Stable Models

MPRA Paper No. 80464

Applied Economics , Vol. 23, No. 40 (2008)

27 Pages Posted: 25 Oct 2018

See all articles by Stavros Antonios Degiannakis

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Alexandra Livada

Athens University of Economics and Business - Department of Statistics

Epameinondas Panas

Athens University of Economics and Business - Department of Economics

Date Written: 2008

Abstract

In this paper an asymmetric autoregressive conditional heteroskedasticity (ARCH) model and a Levy-stable distribution are applied to some well-known financial indices (DAX30, FTSE20, FTSE100 and SP500), using a rolling sample of constant size, in order to investigate whether the values of the estimated parameters of the models change over time. Although, there are changes in the estimated parameters reflecting that structural properties and trading behaviour alter over time, the ARCH model adequately forecasts the one-day-ahead volatility. A simulation study is run to investigate whether the time variant attitude holds in the case of a generated ARCH data process revealing that even in that case the rolling-sampled parameters are time-varying.

Keywords: ARCH Model, GED Distribution, Leverage Effect, Levy-Stable Distribution, Rolling Sample, Spill Over, Value at Risk

JEL Classification: C32, C52, C53, G15

Suggested Citation

Degiannakis, Stavros Antonios and Livada, Alexandra and Panas, Epameinondas, Rolling-Sampled Parameters of ARCH and Levy-Stable Models (2008). MPRA Paper No. 80464, Applied Economics , Vol. 23, No. 40 (2008), Available at SSRN: https://ssrn.com/abstract=3259777

Stavros Antonios Degiannakis (Contact Author)

Department of Economic and Regional Development, Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

Alexandra Livada

Athens University of Economics and Business - Department of Statistics ( email )

Athens
Greece

Epameinondas Panas

Athens University of Economics and Business - Department of Economics ( email )

76 Patission Street
GR-10434 Athens
Greece

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