 Financial Markets ModellingVladimir Tsenkov Economic Thought journal, 2009, issue 5, 87-96 Abstract: The variability and the return on a financial asset on the grounds of historical price data is determined usually by means of the price correlations of values, realized in two adjacent periods. This approach does not reflect completely the fluctuations of the financial markets, because their values monitored in two adjacent periods are quite similar. This is a hindrance for the variability in the econometric models to be covered completely, with reference to the time data lines and looking for the autocorrelation between the separate lines. It refers to the GARCH models, encompassing fully phenomena of the financial trade such as autocorrelations and variability clusters. The application of the scope model, based on the difference between the top and the bottom price realized in a business day, using these models results in a precise reflection of the real dynamics of the variability of the daily return. The different approaches for its presentation in the GARCH models are studied – from the dynamics of its mean value to the use as an expression of the dynamics of the provisional variability of return. Thus the use of the scope could be considered a natural follow-up of the GARCH models in order to improve their explanatory and forecasting value in the process of econometric modeling of the variability. JEL-codes: C32 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bas:econth:y:2009:i:5:p:87-96 Access Statistics for this article More articles in Economic Thought journal from Bulgarian Academy of Sciences - Economic Research Institute Contact information at EDIRC. |
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