A note on the estimated GARCH coefficients from the S&P1500 universe

Georgios Bampinas (), Konstantinos Ladopoulos () and Theodore Panagiotidis
Additional contact information
Konstantinos Ladopoulos: Citrix Systems Research & Development

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We employ 1440 stocks listed in the S&P Composite 1500 Index of the NYSE. Three benchmark GARCH models are estimated for the returns of each individual stock under three alternative distributions (Normal, t and GED).We provide summary statistics for all the GARCH coefficients derived from 11520 regressions. The EGARCH model with GED errors emerges as the preferred choice for the individual stocks in the S&P 1500 universe when non-negativity and stationarity constraints in the conditional variance are imposed. 57% of the constraint’s violations are taking place in the S&P small cap stocks.

Keywords: GARCH; GJR-GARCH; EGARCH; alternative distributions; volatility; time-series. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2017-05, Revised 2017-05
New Economics Papers: this item is included in nep-dcm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://aphrodite.uom.gr/econwp/pdf/dp042017.pdf
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to aphrodite.uom.gr:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: A note on the estimated GARCH coefficients from the S&P1500 universe (2018)
Working Paper: A note on the estimated GARCH coefficients from the S&P1500 universe (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2017_04

Access Statistics for this paper

More papers in Discussion Paper Series from Department of Economics, University of Macedonia
Bibliographic data for series maintained by Theodore Panagiotidis () and Anastasia Litina ().