Publication Date:
2007
Short description:
Classifying the Italian pension funds via GARCH distance / Otranto, E., Trudda, A.. - (2007), pp. 189-197. [10.1007/978-88-470-0704-8_24]
abstract:
The adoption of pension funds in the Italian social security policy has increased
the offer of several investment funds. Workers have to decide what kind of investment to
perform, the funds having a different composition and a subsequently different degree of risk.
In this paper we propose the use of a distance between GARCH models as a measure of
different structure of volatility of some funds, with the purpose of classifying a set of funds.
Furthermore we extend the idea of equivalence between ARMA models to the GARCH case
to verify the equality of the risk of each couple of funds. An application on thirteen Italian
funds and fund indices is performed
the offer of several investment funds. Workers have to decide what kind of investment to
perform, the funds having a different composition and a subsequently different degree of risk.
In this paper we propose the use of a distance between GARCH models as a measure of
different structure of volatility of some funds, with the purpose of classifying a set of funds.
Furthermore we extend the idea of equivalence between ARMA models to the GARCH case
to verify the equality of the risk of each couple of funds. An application on thirteen Italian
funds and fund indices is performed
Iris type:
2.1 Contributo in volume (Capitolo o Saggio)
List of contributors:
Otranto, E; Trudda, Alessandro
Book title:
Mathematical and Statistical Methods for Insurance and Finance