Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29550
Authors: 
Herrmann, Klaus
Year of Publication: 
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

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