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...
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| Format: | Article |
| Language: | English |
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NR&DI URBAN-INCERC
2016-12-01
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| Series: | Urbanism. Arhitectura. Constructii |
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| Online Access: | http://uac.incd.ro/Art/v7n4a06.pdf |