Dear all,
We know that while choosing any model for volatility we see our objective first like - To check spillover. To check news impact. To check leverage effect or clustering.
What exactly we are doing over here volatility analysis or volatility modelling?
Or can say that doing volatility analysis through volatility modelling as Egarch, bekk garch.
I mean whether these different aspect we are checking are covered under the word volatility analysis or the word volatility modelling?
Thanks and regards.....
Volatility is a condition of heteroscedasticity of a time series. Rather than being constant the variance of the series changes with time. Volatility modelling is therefore variance modelling and it is by models of the garch family. Garch is an acronym for generalized autoregressive conditional heteroscedastic, a most befitting description.
Dear Ms Teena
volatility is a more complicated phenomenon which cannot be analyzed coherently without a proper model.
Hence, volatility is analyzed by employing a suitable model. You cannot isolate volatility analysis and volatility modelling.
GARCH like models have multi-fold applications. You can use GARCH in its original form as a measure of volatility. You can extend this model for advanced level volatility analysis by plugging in various influencing variables into the model. Then, we can call GARCH as a tool for volatilty modelling.
Your question is really more fundamental and its reflects your inquisitiveness.
Any further discussion in this regard is most welcome.
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