Modeling Returns and Unconditional Variance in Risk Neutral World for Liquid and Illiquid Market

Autor:	Ivivi Joseph Mwaniki
Rok vydání:	2015
Předmět:	Heteroscedasticity Stylized fact Volatility clustering Index (economics) Autoregressive model Order (exchange) Statistics Econometrics Economics Time series Risk neutral
Zdroj:	Journal of Mathematical Finance. :15-25
ISSN:	2162-2442 2162-2434
DOI:	10.4236/jmf.2015.51002
Popis:	This article seeks to model daily asset returns using log-ARCH-Levy type model which is expected to reproduce most of the stylized features of financial time series data (such as volatility clustering, leptokurtic nature of log returns, joint covariance structure and aggregational Gaussianity) that are empirically found in different types of market. In addition, unconditional variance of daily log returns in risk neutral world of different conditional heteroscedastic models is derived. A key observation is that liquid markets and illiquid market may not have the same underlying dynamics. For instance empirical analysis based on S&P500 index log returns as a liquid market do not have autoregressive part in their first moments while in Nairobi Securities Exchange NSE20 index there is strong presence of autoregressive dynamics of order three, i.e. AR(3). Higher moments of both markets are serially correlated.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6246a3b533247c5e52bd732f3312b1d4 https://doi.org/10.4236/jmf.2015.51002 Zobrazit plný text záznamu