Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Intraday volatility and VaR: an evidence from the construction sector
This article presents the outcomes from the estimation of the multiplicative component GARCH model for intraday data from the construction sector in Poland. This model is a recent modification of a well-known in finance GARCH model, which can deal with tick data. It is found that all the considered stocks from the construction sector follow very similar patterns as financial time-series. It is a non-trivial result, because when comparing with other estimations (in particular, those not differentiating between various economy sectors) different outcomes on volatility patterns can be found. Secondly, the volatility pattern numerical estimation for stocks from the construction sector is quite different from what is usually found in the literature not differentiating between sectors.
Intraday volatility and VaR: an evidence from the construction sector
This article presents the outcomes from the estimation of the multiplicative component GARCH model for intraday data from the construction sector in Poland. This model is a recent modification of a well-known in finance GARCH model, which can deal with tick data. It is found that all the considered stocks from the construction sector follow very similar patterns as financial time-series. It is a non-trivial result, because when comparing with other estimations (in particular, those not differentiating between various economy sectors) different outcomes on volatility patterns can be found. Secondly, the volatility pattern numerical estimation for stocks from the construction sector is quite different from what is usually found in the literature not differentiating between sectors.
Intraday volatility and VaR: an evidence from the construction sector
Krzysztof Drachal (Autor:in)
2016
Aufsatz (Zeitschrift)
Elektronische Ressource
Unbekannt
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