文章基本信息

标题：VOLATILITY ESTIMATION BASED ON HETEROSKEDASTIC MODELS VS. HISTORICAL MODELS
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作者：Negrea Bogdan Cristian ; Tatu Lucian ; Stoian Andreea 等
期刊名称：Annals of the University of Oradea : Economic Science
印刷版ISSN：1222-569X
电子版ISSN：1582-5450
出版年度：2008
卷号：XVII
期号：03
页码：385-389
出版社：University of Oradea
摘要：
Volatility represents the most common used method for risk estimation. The aim of this paper is to estimate volatility based on historical models and heteroskedastic models, GARCH (!,!), in order to identify the crisis moment within American capital market. The database used consists in daily observations about Dow Jones index, spanned within 1928 – 2002.
关键词：
volatility, heteroskedasticity, GARCH, capital market