“What good is a volatility model?” A reexamination after 20 years

Christopher Baum and Stan Hurn

Stata Journal, 2021, vol. 21, issue 2, 295-319

Abstract: This article is primarily a replication study of Engle and Patton (2001, Quantitative Finance 1: 237–245), but it also serves as a demonstration of the time-series features introduced into Stata over the past two decades. The dataset used in the original study is extended from the end date of the original sample on 22 August 2000 to 1 August 2017 to examine the robustness of the models.

Keywords: volatility; GARCH; time series; reproducible research (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211025797

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