| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP2699
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| DP2699 Quantity Discounts for Time-Varying Consumers |
| Eugenio Miravete
|
| 发表日期 | 2001-02-27
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| 出版年 | 2001
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| 语种 | 英语
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| 摘要 | Returns in financial assets show consistent excess kurtosis, indicating the presence of large fluctuations not predicted by Gaussian models. Mandelbrot (1963) first proposed the idea that price changes distributed according to a Lévy stable law. The unique feature of Lévy-stable distributions in general is that they are stable under addition. However, these distributions have power law tails that decay too slowly from the point of view of financial modelling. In recent studies the truncated Lévy Flight has been shown to eliminate this problem and to be very promising for the modelling of financial dynamics. An exponential decay in the tails ensures that all moments are finite and the distribution is fat-tailed for short time scales and converges in a Gaussian process for increasing time scales, a feature observed in financial data. We propose a model with time varying scale parameter (GARCH process) with error terms that are truncated Lévy distributed. We determine the appropriate GARCH specification for each data set by conducting a specification test based on a generalization of the augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi-day volatility, precisely a ?-root-of-time rule, where ? is the characteristic parameter of the process. We use this rule to forecast future volatility and as a result estimate Value-at-Risk (VaR) several days ahead and compare it to the RiskMetricsTM (1996) approach, which is a special case of our method. We compare the models in in-sample- and out-of-sample analyses for a sample of stock index returns. |
| 主题 | Financial Economics
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| 关键词 | Value-at-risk
Augmented garch process
Truncated lévy flight
Scale consistency
In- and out-of-sample analysis
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| URL | https://cepr.org/publications/dp2699
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531757
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推荐引用方式
GB/T 7714 |
Eugenio Miravete. DP2699 Quantity Discounts for Time-Varying Consumers. 2001.
|
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