Abstract
This paper uses recent GARCH-type models for the calculation of minimum capital risk requirements (MCRRs). We use daily data from four indices of the UK stock market (FTSE 350, FTSE AIM, FTSE ACT 250, FTSE Techmark). Following Floros (2007), we calculate the MCRR for long and short positions over a 5-day, 10-day and 15-day horizon periods. The results show that higher capital requirements are necessary for a long position since a loss is more likely than for a short position.
| Original language | English |
|---|---|
| Pages (from-to) | 85-89 |
| Number of pages | 5 |
| Journal | Journal of Money, Investment and Banking |
| Volume | 5 |
| Publication status | Published - 2008 |