"What good is a volatility model?" A reexamination after 20 years. (June 2021)

• Record Type: Journal Article
• Authors: Baum, Christopher F.; Hurn, Stan
• Is Part Of: Stata journal. Volume 21:Number 2(2021)
• Page Start: 295
• Page End: 319
• Publication Date: 2021-06
• Subjects: st0637 -- volatility -- GARCH -- time series -- reproducible research; Statistics -- Periodicals; Statistics -- Computer programs -- Periodicals; 001.422
• DOI: 10.1177/1536867X211025797
• Languages: English
• ISSNs: 1536-867X

Abstract

This article is primarily a replication study of Engle and Patton (2001, Quantitative Finance 1: 237–245), but it also serves as a demonstration of the time-series features introduced into Stata over the past two decades. The dataset used in the original study is extended from the end date of the original sample on 22 August 2000 to 1 August 2017 to examine the robustness of the models.