Estimation of VaR by Employing Economic News in GARCH models
Ondrej Sindelka
Broschiertes Buch

Estimation of VaR by Employing Economic News in GARCH models

Applied on the European Banking Sector Returns

Versandkostenfrei!
Versandfertig in 6-10 Tagen
38,99 €
inkl. MwSt.
PAYBACK Punkte
19 °P sammeln!
We examine the influence of news, related to the main central banks, on the conditional volatility of the stock returns of eighteen major European banks using GARCH, EGARCH and TGARCH framework. Numbers are further applied into the Value-at-Risk (VaR) measure for given banks returns. The two types of news variables we use are constructed from the press releases of main central banks and from the search query at Factiva Dow Jones news database. Using the EGARCH setup we are able to model individual volatility reaction functions of the banks stock returns to different news variables. The results...