کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
981599 1480387 2014 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Errors in Short Run Forecasts Next-day Volatility of Equity Risk Premium in the UK and U.S. Market: Empirical Research before and after the Global Financial Crisis
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Errors in Short Run Forecasts Next-day Volatility of Equity Risk Premium in the UK and U.S. Market: Empirical Research before and after the Global Financial Crisis
چکیده انگلیسی

The current article has focused on the comparison of the equity risk premiums’ development in the two largest equity markets in the world, the U.K. and U.S. markets. The investigation has been made through estimating short run forecasts and calculating their errors. Therefore the aim of the study is to estimate errors in short run forecasts next-day volatility of the equity risk premium in the UK and U.S. markets. As the estimation method it used GARCH (1,2). It is obtained daily data for the period from 1999 to March 2014. The results have clearly proved that errors of forecasts are still at a higher level nowadays, than before the global financial crisis. Finally, it created a motivation for a future research in that area due to differences between types of financial systems.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Procedia Economics and Finance - Volume 14, 2014, Pages 243-252