ARCH Models for Financial Applications (PDF)

Prologue. Notation. 1 What is an ARCH process? 1.1 Introduction. 1.2 The Autoregressive Conditionally Heteroskedastic Process. 1.3 The Leverage Effect. 1.4 The Non-trading Period Effect. 1.5 Non-synchronous Trading Effect. 1.6 The Relationship between Conditional Variance and Conditional Mean. 2 ARCH Volatility Specifications. 2.1 Model Specifications. 2.2 Methods of Estimation. 2.3. Estimating the GARCH Model with EViews 6: An Empirical Example.. 2.4. Asymmetric Conditional Volatility Specifications. 2.5. Simulating ARCH Models Using EViews. 2.6. Estimating Asymmetric ARCH Models with G@RCH 4.2 OxMetrics - An Empirical Example.. 2.7. Misspecification Tests. 2.8 Other ARCH Volatility Specifications. 2.9 Other Methods of Volatility Modeling. 2.10 Interpretation of the ARCH Process. 3 Fractionally Integrated ARCH Models. 3.1 Fractionally Integrated ARCH Model Specifications. 3.2 Estimating Fractionally Integrated ARCH Models Using G@RCH 4.2 OxMetrics - An Empirical Example. 3.3 A More Detailed Investigation of the Normality of the Standardized Residuals - Goodness-of-fit Tests. 4 Volatility Forecasting: An Empirical Example Using EViews 6. 4.1 One-step-ahead Volatility Forecasting. 4.2 Ten-step-ahead Volatility Forecasting. 5 Other Distributional Assumptions. 5.1 Non-Normally Distributed Standardized Innovations. 5.2 Estimating ARCH Models with Non-Normally Distributed Standardized Innovations Using G@RCH 4.2 OxMetrics - An Empirical Example. 5.3 Estimating ARCH Models with Non-Normally Distributed Standardized Innovations Using EViews 6 - An Empirical Example. 5.4 Estimating ARCH Models with Non-Normally Distributed Standardized Innovations Using EViews 6 - The LogL Object. 6 Volatility Forecasting: An Empirical Example Using G@RCH Ox. 7 Intra-Day Realized Volatility Models. 7.1 Realized Volatility. 7.2 Intra-Day Volatility Models. 7.3 Intra-Day Realized Volatility & ARFIMAX Models in G@RCH 4.2 OxMetrics - An Empirical example. 8 Applications in Value-at-Risk,

Evdokia Xekalaki, Department of Statistics, Athens University of Economics and Business
Professor Xekalaki has been teaching for nearly 30 years, and in that time has held such positions as Director of the graduate program, consultant to EUROSTAT and twice Chair of the Dept of Statistics at AUEB. She has published more than 50 papers in numerous international journals and has presented papers at many international conferences. She is also the Chief Editor of the journal Quality Technology and Quantitative Management and on the Editorial Board for the Journal of Applied Stochastic Models in Business and Industry.

Stavros Degiannakis, Department of Statistics, Athens University of Economics and Business
Adjunct lecturer in applied econometrics, Dr Degiannakis acquired his PhD last year, and has already had eight articles published in seven journals, and eight other papers presented at a variety of international conferences.

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