Stabsseminar ved Jonas Andersson

Institutt for foretaksøkonomi får besøk av Jonas Andersson fra Uppsala University til sitt stabsseminar torsdag.

04.12.2002 - Anette W. Petersen

Tema: On the Normal Invers Gaussian Stochastic Volatility Model

Tid: Torsdag 5. desember, kl. 12.15-13.30

Sted: Karl Borch's Aud.

Abstract:
In this talk a volatility model based on the the normal inverse Gaussian distribution, originally proposed by Barndorff-Nielsen (1997), will be presented and compared with two other commonly used volatility models. The model is extended in order to get a more flexible lag structure and the second and fourth order moments, important properties of a volatility model, are derived. The model can be considered either as a GARCH model with non normal errors or as a stochastic volatility model with an inverse Gaussian distributed conditional variance. The model is finally applied to stock returns and exchange rate movements. Its fit to two stylized facts and its forecasting performance is compared with two other volatility models.

Paper er tilgjengelig på instituttets hjemmeside.

Kontaktpersoner: Jostein Lillestøl (59248)og Hans K. Hvide (59283).