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Realized volatility and minimum capital requirements
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| File | Description | Size | Format | |
|---|---|---|---|---|
| cotterj_confpap_pub_014.pdf | 358.66 kB | Adobe PDF | Download |
| Title: | Realized volatility and minimum capital requirements | Authors: | Cotter, John | Permanent link: | http://hdl.handle.net/10197/1692 | Date: | 2003 | Abstract: | Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorporated into the measurement process so as to rely on the quadratic variation of a diffusion process and be robust in the presence of fat tails. The realized volatility estimates incorporate the long memory property. The dynamics of the volatility variable are adequately captured. Resulting rescaled returns are applied to minimum capital requirement calculations. | Funding Details: | The Institute of Certified Public Accountants in Ireland (CPA) | Type of material: | Conference Publication | Publisher: | Money Macro and Finance Research Group | Copyright (published version): | Money Macro and Finance Research Group, 2003 | Subject LCSH: | Capital Futures--Great Britain Futures--Econometric models |
Language: | en | Status of Item: | Not peer reviewed | Conference Details: | Paper presented at Money Macro and Finance Research Group 35th Annual Conference (MMF 2003), September 10-12 2003, University of Cambridge |
| Appears in Collections: | Business Research Collection |
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