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Title:Three Essays on Empirical Asset Pricing
Author(s):Deng, Qian
Doctoral Committee Chair(s):Pearson, Neil D.
Department / Program:Finance
Discipline:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
Abstract:The third chapter estimates the conditional variance of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine the out-of-sample forecasting ability and find this model provides a better performance compared to the usual GARCH(1,1) volatility model. In addition, we find that the dependence on the random components increases after we include the predictable components. This implies that modeling volatilities using only past returns without other predictable variables could underestimate the persistence levels of volatilities and thus bias the volatility forecasts, especially those over long horizons.
Issue Date:2008
Type:Text
Language:English
Description:100 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2008.
URI:http://hdl.handle.net/2142/87440
Other Identifier(s):(MiAaPQ)AAI3314760
Date Available in IDEALS:2015-09-28
Date Deposited:2008


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