Intraday volatility and VaR: an evidence from the construction sector

Intraday volatility and VaR: an evidence from the construction sector

This article presents the outcomes from the estimation of the multiplicative component GARCH model for intraday data from the construction sector in Poland. This model is a recent modification of a well-known in finance GARCH model, which can deal with tick data. It is found that all the considered...

Full description

Bibliographic Details
Main Author: Krzysztof Drachal
Format: Article
Language:English
Published: NR&DI URBAN-INCERC 2016-12-01
Series:Urbanism. Arhitectura. Constructii
Subjects:
backtesting
construction sector in Poland
high-frequency data
mcsGARCH
volatility patterns
WIG-budownictwo
WIG-construction
Online Access:http://uac.incd.ro/Art/v7n4a06.pdf

Internet

http://uac.incd.ro/Art/v7n4a06.pdf

Similar Items