Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/636
Title: | A note on the estimated GARCH coefficients from the S&P1500 universe |
Authors: | Bampinas, Georgios Ladopoulos, Konstantinos Panagiotidis, Theodore |
Type: | Article |
Subjects: | FRASCATI::Social sciences FRASCATI::Social sciences::Economics and Business |
Keywords: | GARCH GJR-GARCH EGARCH alternative distributions volatility time-series |
Issue Date: | 2018 |
Publisher: | Taylor & Francis |
Source: | Applied Economics |
Volume: | 50 |
Issue: | 34-35 |
First Page: | 3647 |
Last Page: | 3653 |
Abstract: | We employ 1440 stocks listed in the S&P Composite 1500 Index of the NYSE. Three benchmark GARCH models are estimated for the returns of each individual stock under three alternative distributions (Normal, t and GED).We provide summary statistics for all the GARCH coefficients derived from 11520 regressions. The EGARCH model with GED errors emerges as the preferred choice for the individual stocks in the S&P 1500 universe when non-negativity and stationarity constraints in the conditional variance are imposed. 57% of the constraint’s violations are taking place in the S&P small cap stocks. |
URI: | https://doi.org/10.1080/00036846.2018.1436155 https://ruomo.lib.uom.gr/handle/7000/636 |
ISSN: | 0003-6846 1466-4283 |
Other Identifiers: | 10.1080/00036846.2018.1436155 |
Appears in Collections: | Department of Economics |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
appliedeconomics1.pdf | 135,52 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.