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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29550
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| Title: | | Models for time-varying moments using maximum entropy applied to a generalized measure of volatility  |
| Authors: | | Herrmann, Klaus |
| Issue Date: | | 2008 |
| Series/Report no.: | | IWQW discussion paper series 06/2008 |
| Abstract: | | We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for the motion in time of the expected conditional second power moment. This interpretation is used to show how these models may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence for our method. |
| Subjects: | | Information Theory Maximum Entropy GARCH Volatility |
| JEL: | | C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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