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Estimation of VaR by Employing Economic News in GARCH models


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  • Product Description
We examine the influence of news, related to the main central banks, on the conditional volatility of the stock returns of eighteen major European banks using GARCH, EGARCH and TGARCH framework. Numbers are further applied into the Value-at-Risk (VaR) measure for given banks returns. The two types of news variables we use are constructed from the press releases of main central banks and from the search query at Factiva Dow Jones news database. Using the EGARCH setup we are able to model individual volatility reaction functions of the banks? stock returns to different news variables. The results confirm that increase in the amount of media coverage causes increase in volatility. Certain news types have calming effect (speeches of the central banks? representatives) on volatility while others stir it (monetary news). Finally, adding the news into the modeling only slightly improves the VaR out-of-sample performance.
Product Specifications
SKU :COC10918
AuthorOnd?ej ?indelka
Number of Pages132
Publishing Year10/31/2012
Edition1 st
Book TypeBanking & finance: study & revision guides
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-10-07 00:00:00