One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Thomas Kaiser
Additional contact information
Thomas Kaiser: Eberhard-Karls-Universitaet Tuebingen, Germany

Econometrics from University Library of Munich, Germany

Abstract: This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution) are considered. Out-of-sample forecasts for the stock returns based upon these models are computed. These forecasts are compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential smoothing forecasts.

Keywords: Dynamic Factors; GARCH; Asset Pricing; Forecasting (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1996-12-17
Note: Type of Document - Postscript/tared/gzipped; prepared on HP- UX; to print on Postscript; pages: 34 , 19 ; figures: included (seperate files). Tuebinger Diskussionsbeitraege Nr. 87 Wirtschaftswissenschaftliche Fakultaet Eberhard-Karls-Universitaet Tuebingen
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/9612/9612007.pdf (application/pdf)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/9612/9612007.ps.gz (application/postscript)

Related works:
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:wpa:wuwpem:9612007

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).