文章基本信息

标题：Volatility Estimation and Forecasting During Crisis Periods: A Study Comparing GARCH Models with Semiparametric Additive Models
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作者：Douglas Gomes dos Santos ; Flávio Augusto Ziegelmann
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2012
卷号：10
期号：1
页码：49-70
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：In this paper, we compare semiparametric additive models with GARCH models in terms of their capability to estimate and forecast volatility during crisis periods. Our Monte Carlo studies indicate a better performance for GARCH models when their functional forms do not differ from that of the specified Data Generating Process (DGP). However, if they differ from the DGP, the results suggest the superiority of additive models. Additionally, we perform an empirical application in three selected periods of high volatility of IBOVESPA returns series, in which both families of models obtain similar results.
其他摘要：In this paper, we compare semiparametric additive models with GARCH models in terms of their capability to estimate and forecast volatility during crisis periods. Our Monte Carlo studies indicate a better performance for GARCH models when their functional forms do not differ from that of the specified Data Generating Process (DGP). However, if they differ from the DGP, the results suggest the superiority of additive models. Additionally, we perform an empirical application in three selected periods of high volatility of IBOVESPA returns series, in which both families of models obtain similar results.
关键词：volatility;semiparametric additive models;GARCH models;crisis;volatilidade;modelos aditivos semi-paramétricos;modelos GARCH;crise
其他关键词：Finance; Econometrics;volatility; semiparametric additive models; GARCH models; crisis;C14; C22; C52; C53