Dynamic analysis of the insurance linked securities index

Mathieu Gatumel () and Dominique Guegan ()
Additional contact information
Mathieu Gatumel: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr
Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: This paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial crisis. Some stylized facts of the index, like the non-Gaussianity, the asymmetry or the clusters of volatility, are highlighted. We are using some GARCH-type models and the generalized hyperbolic distributions in order to capture these elements. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of the insurance linked securities index

Keywords: Insurance Linked Securities; Garch-type models; normal Inverse Gaussian Distribution (search for similar items in EconPapers)
JEL-codes: C16 C22 G12 G14 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2008-09
New Economics Papers: this item is included in nep-fmk and nep-ias
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ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08049.pdf (application/pdf)

Related works:
Working Paper: Dynamic Analysis of the Insurance Linked Securities Index (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08049

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