Engle, R. F. and Patton, Andrew J. (2001) What good is a volatility model? Quantitative Finance, 1 (2). 237 - 245. ISSN 1469-7688
Full text not available from this repository.Abstract
A volatility model must be able to forecast volatility; this is the central requirement in almost all financial applications. In this paper we outline some stylized facts about volatility that should be incorporated in a model: pronounced persistence and mean-reversion, asymmetry such that the sign of an innovation also affects volatility and the possibility of exogenous or pre-determined variables influencing volatility. We use data on the Dow Jones Industrial Index to illustrate these stylized facts, and the ability of GARCH-type models to capture these features. We conclude with some challenges for future research in this area.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.tandfonline.com/journals/rquf20 |
| Additional Information: | © 2001 IOP Publishing Ltd |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| Date Deposited: | 13 Nov 2008 14:23 |
| Last Modified: | 11 Dec 2024 22:21 |
| URI: | http://eprints.lse.ac.uk/id/eprint/18237 |
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