Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104946
Authors: 
Kaiser, Thomas
Year of Publication: 
1996
Series/Report no.: 
Tübinger Diskussionsbeiträge 87
Abstract: 
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetrie GARCH(1,1)-M and Glosten-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution) are considered, Out-of-sample forecasts for the stock returns based upon these models are computed. These forecasts are compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential smoothing forecasts.
Subjects: 
Dynamic Factors
GARCH
Asset Pricing
Forecasting
JEL: 
C32
G12
Document Type: 
Working Paper

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