Czasopismo
2004
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nr 1037, t. 1 Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. T. 1
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38--47
Tytuł artykułu
Autorzy
Warianty tytułu
UHF-GARCH Models: an Application to the Volatility Analysis of Ultra-High-Frequency Data
Języki publikacji
Abstrakty
Scharakteryzowano model UHF GARCH oraz omówiono jego zastosowanie w analizie zmienności szeregów czasowych o dużej częstotliwości.
This paper presents the Robert F. Engle's intraday volatility model for ultra-high-frequency data irregularly spaced in time. The important assumption of the model is that time between consecutive trades may carry information about the state of the market. Due to that, returns are modeled conditionally on trade durations. The empirical analysis developed on the basis of three Warsaw Stock Exchange companies' transaction data confirms the results achieved by R.F. Engle for the NYSE (New York Stock Exchange) - trade durations reduce the predicted volatility per time unit. (original abstract)
Rocznik
Strony
38--47
Opis fizyczny
Twórcy
autor
- Szkoła Główna Handlowa w Warszawie
Bibliografia
- Bauwens L., Giot P.: Econometric Modelling of Stock Market Intraday Activity. Boston: Kluwer Academic Publishers 2001.
- Bauwens L., Veredas D.: The Stochastic Conditional Duration Model: A Latent Variable Model For The Analysis Of Financial Durations. "CORE Discussion Paper" 1999, nr 9958.
- Easley D., O'Hara M.: Time and the Process of Security Price Adjustment. "Journal of Finance" 1992, nr 47.
- Engle R.F.: The Econometrics of Ultra-High Frequency Data. "Econometrics" 2000, t. 68.
- Engle R.F., Russell J.R.: Autoregressive Conditional Duration: A New Model For Irregularly Spaced Transaction Data. "Econometrica" 1998, t. 66.
- Manganelli S.: Duration, Volume and Volatility Impact of Trades. "European Central Bank Working Paper Series" 2002, nr 125.
- O'Hara M.: Market Microstructure Theory. Oxford: Basil Blackwell 1995.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171477645