Article ID Journal Published Year Pages File Type
958368 Journal of Empirical Finance 2008 16 Pages PDF
Abstract

This paper proposes to model stock price volatility and variations in innovation effort using a Multivariate GARCH structure designed to extract information for risk prediction. The salient feature is that the model order, alongside other parameters, is endogenously determined by the estimation procedures. Using stock prices of U.S. computer firms, it is found that the model can pick up the correlation between the two variables and aid in producing accurate Value-at-Risk estimates.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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