The ARCH effect: a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1997
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 123 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a The ARCH effect |b a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns |c vorgelegt von Tarek Mohy El Din |
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| adam_text | Contents
Acknowledgments n
Contents m
List of Tables VI
List of Figures Vm
Symbols and Acronyms DC
1. INTRODUCTION 1
2. RELATED WORK 3
2.1 The ARCH Effect 3
2.2 Explanations for the ARCH Effect 6
2.3 Stock Return Variance and the Economy 8
2.3.1 Cyclical Risk Aversion 8
2.3.2 Cyclical Macro Volatility 9
2.3.3 Non Cyclical Models 11
3. THE GRADUAL ANTICIPATION MODEL 13
3.1 Notation, Definitions and the Basic Mechanism: an Example 13
3.2 The Determinants of Variance in a PV Framework 20
3.2.1 The Present Value Relation and Returns 20
3.2.2 Transitory Dividend Shocks 21
3.2.3 Permanent Dividend Shocks 22
3.2.4 Partial Persistence; an Autoregressive Process for Cash Flows 23
3.3 Gradual Anticipation and Return Variance 24
3.3.1 News vs. Innovations 24
3.3.2 Examples 28
3.3.2.1 Equal Amounts of News about Future Periods 28
3.3.2.2 Geometrically Declining Predictability 28
3.3.3 Combining the Elements 29
3.3.4 Relation to the Excess Volatility Discussion 30
HI
3.4 Dynamic Implications for Asset Variance 32
3.4.1 Non Constant Cash Flow Variances; the General Case 32
3.4.2 Geometrically Declining Predictability 34
3.4.3 Stochastic Discount Factors 37
. 3.5 Asset Return Variances and the Economy 38
4. PRELIMINARY DATA ANALYSIS 41
4.1 Stock Market Data 41
4.1.1 Raw Data and Transformations 41
4.1.1.1 Raw Data 41
4.1.1.2 Returns 42
4.1.1.3 Variance 42
4.1.2 ARCH Effects in Daily Data 45
4.1.2.1 Least Squares Estimation 45
4.1.2.2 Maximum Likelihood Estimation 46
4.1.3 ARCH Effects in Monthly Variances; Three Estimation Strategies 48
4.1.4 ARCH Effects and Seasonal Patterns 51
4.1.4.1 Least Squares Estimation 51
4.1.4.2 Maximum Likelihood Estimation 52
4.2 Macroeconomic Data 56
4.2.1 Raw Data and Initial Transformations 56
4.2.1.1 The Variables 56
4.2.1.2 Initial Transformations and Summary Statistics 57
4.2.2 Levels and Innovations 59
4.2.2.1 Hodrick Prescott Filtering 59
4.2.2.2 Fitting an ARMA Model for Levels, Deseasonalizing 59
4.2.2.3 Cross Correlations 69
4.2.3 Tests for non Constant Variances 70
4.2.3.1 Heteroskedasticity Tests Based on LS Estimations 70
4.2.3.2 Heteroskedasticity Tests Based on ML Estimations 73
IV
5. EMPIRICAL IMPLEMENTATION 78
5.1 Empirical Implications of the Gradual Anticipation Model 78
5.1.1 Static Implications 78
5.1.2 Dynamic Implications 79
5.2 Test of the Time Reversed Process for Variance 81
5.3 Tests of the General Distributed Lead Model (DLM) 83
5.3.1 Univariate Least Squares Estimation 83
5.3.2 Multivariate Least Squares Estimation 85
5.3.3 Maximum Likelihood Estimation 88
5.3.4 Controlling for Omitted Variables 91
5.4 Tests of the Geometrically Distributed Lead Model 96
5.4.1 Univariate 96
5.4.2 Multivariate 99
5.4.3 Controlling for Omitted Variables 102
5.5 Model Evaluation 105
6. CONCLUSION 110
Data Description 112
Cross Correlation Tables 113
Bibliography 117
V
List of Tables
Table I Summary statistics for daily compound returns 42
Table II Summary statistics for monthly sample return variances 43
Table III ARMA( 1,1) on daily compound returns. AR( 1) on squared 46
residuals
Table IV GARCH( 1,1) with an ARMA( 1,1) for levels on daily compound 47
returns
Table V Three different AR( 1) specifications 50
Table VI F tests for seasonally in stock return variances 52
Table VII Likelihood ratio tests for seasonality in stock return variances 53
Table VIII Likelihood ratio tests for January and October effects in stock 54
return variances
Table IX Summary statistics for macroeconomic variables 58
Table X F tests for seasonality and ARMA terms in macroeconomic 60
variables
Table XI Cross correlation coefficients of macroeconomic innovations 113
Table XII Cross correlation coefficients of squared macroeconomic 115
innovations
Table XIII Pagan and Breusch test for heteroskedasticity of 72
macroeconomic innovations
Table XIV Likelihood ratio test for heteroskedasticity of macroeconomic 75
innovations
VI
Table XV Maximum likelihood estimation of AR(1) and reversed AR(1) 81
Table XVI Likelihood ratio tests of AR( 1) versus reversed AR( 1) 82
Table XVII OLS estimates for univariate distributed lead model 84
Table XVIII OLS estimates for simplified univariate and multivariate 86
distributed lead model
Table XIX Maximum likelihood estimates of the multivariate distributed 89
lead model
Table XX Maximum likelihood estimates of the multivariate distributed 94
lead model with autocorrelated residuals
Table XXI Likelihood ratio tests of the multivariate distributed lead model 95
vs. anAR(l)
Table XXII Maximum likelihood estimates of the univariate geometrically 97
distributed lead model
Table XXIII Maximum likelihood estimates of the multivariate geometrically 101
distributed lead model
Table XXIV Maximum likelihood estimates of the multivariate geometrically 103
distributed lead model with autocorrelated residuals
Table XXV Likelihood ratio tests of the multivariate geometrically 105
distributed lead model vs. an AR(1)
Table XXVI Maximum likelihood estimation of a model including free lead 107
coefficients as well as geometrical lead weights
Table XXVII Likelihood ratio tests of the full model versus three restricted 108
versions including an AR(1)
vn
List of Figures
Figure I Impulse response functions for different parameter sets 35
Figure II Impulse response comparison to AR(1) 36
Figure III Annualized monthly sample volatility of index returns 44
Figure IV Seasonal structure of stock return sample volatilities 55
Figure V Annualized monthly sample volatilities of macroeconomic 61 j
variables ;
Figure VI Seasonal structure of macroeconomic variance 77
Figure VII Sample volatilities vs. fitted values from the distributed lead 90
model
Figure VIII Sample volatilities vs. fitted values from the geometrically 100
distributed lead model
vm
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| indexdate | 2024-07-09T18:08:03Z |
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| spelling | El Din, Tarek Mohy Verfasser aut The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns vorgelegt von Tarek Mohy El Din 1997 X, 123 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1997 Rendite (DE-588)4049459-7 gnd rswk-swf ARCH-Prozess (DE-588)4346437-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content ARCH-Prozess (DE-588)4346437-3 s Rendite (DE-588)4049459-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007618187&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | El Din, Tarek Mohy The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns Rendite (DE-588)4049459-7 gnd ARCH-Prozess (DE-588)4346437-3 gnd |
| subject_GND | (DE-588)4049459-7 (DE-588)4346437-3 (DE-588)4113937-9 |
| title | The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns |
| title_auth | The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns |
| title_exact_search | The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns |
| title_full | The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns vorgelegt von Tarek Mohy El Din |
| title_fullStr | The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns vorgelegt von Tarek Mohy El Din |
| title_full_unstemmed | The ARCH effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns vorgelegt von Tarek Mohy El Din |
| title_short | The ARCH effect |
| title_sort | the arch effect a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns |
| title_sub | a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns |
| topic | Rendite (DE-588)4049459-7 gnd ARCH-Prozess (DE-588)4346437-3 gnd |
| topic_facet | Rendite ARCH-Prozess Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007618187&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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