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Author : Manabu Asai
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (721 download)
Download or read book Asymmetry and Long Memory in Volatility Modelling written by Manabu Asai and published by . This book was released on 2010 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manabu Asai
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book Realized Stochastic Volatility with General Asymmetry and Long Memory written by Manabu Asai and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988), especially for specifying causal effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the RSV-GALM model and a test for general asymmetry, and analyses the finite sample properties. The paper also develops an approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The paper compares the forecasting performance of the new model with a realized conditional volatility model.
Author : Turgut Kisinbay
Publisher : International Monetary Fund
ISBN 13 : 1451855303
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)
Download or read book Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons written by Turgut Kisinbay and published by International Monetary Fund. This book was released on 2003-06-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Author : Mohammadsaeid Rahmani
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index written by Mohammadsaeid Rahmani and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The statements that include sufficient detail to identify the probability distributions of future prices are asset price dynamics. In this research, using the empirical methods that could explain the historical prices and discuss about how prices change we investigate various important characteristics of the dynamics of asset pricing. The volatility changes can explain very important facts about the asset returns. Volatility could gauge the variability of prices over time. In order to do the volatility modelling we use the conditional heteroskedasticitc models. One of the most powerful tools to do so is using the idea of autoregressive conditional heteroskedastic process or ARCH models, which fill the gap in both academic and practical literature. In this work we detect the asymmetric volatility effect and investigate long memory properties in volatility in Canadian stock market index, using daily data from 1979 through 2015. On one hand, we show that there is an asymmetry in the equity market index. This is an important indication of how information impacts the market. On the other hand, we investigate for the long-range dependency in volatility and discuss how the shocks are persistence. By using the long memory-GARCH models, we not only take care of both short and long memory, but also we compute the d parameter that stands for the fractional decay of the series. By considering the breaks in our dataset, we compare our findings on different conditions to find the most suitable fit. We present the best fit for GARCH, EGARCH, APARCH, GJR-GARCH, FIGARCH, FIAPARCH, and FIEGARCH models.
Author : Dilip Kumar
Publisher : diplom.de
ISBN 13 : 3954897458
Total Pages : 99 pages
Book Rating : 4.9/5 (548 download)
Download or read book Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data written by Dilip Kumar and published by diplom.de. This book was released on 2014-04-01 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by ist lagged price changes and has no memory.
Author : Yeongil Hwang
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.3/5 (129 download)
Download or read book Long Memory and Asymmetry in Conditional Variance Models written by Yeongil Hwang and published by . This book was released on 1998 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fulvio Corsi
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Simple Long Memory Model of Realized Volatility written by Fulvio Corsi and published by . This book was released on 2004 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the present work we propose a new realized volatility model to directly model and forecast the time series behavior of volatility. The purpose is to obtain a conditional volatility model based on realized volatility which is able to reproduce the memory persistence observed in the data but, at the same time, remains parsimonious and easy to estimate. Inspired by the Heterogeneous Market Hypothesis and the asymmetric propagation of volatility between long and short time horizons, we propose an additive cascade of different volatility components generated by the actions of different types of market participants. This additive volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering volatilities realized over different time horizons. We term this model, Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV). In spite of the simplicity of its structure, simulation results seem to confirm that the HAR-RV model successfully achieves the purpose of reproducing the main empirical features of financial data (long memory, fat tail, self-similarity) in a very simple and parsimonious way. Preliminary results on the estimation and forecast of the HAR-RV model on USD/CHF data, show remarkably good out of sample forecasting performance which steadily and substantially outperforms those of standard models.
Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author : Mustapha Belkhouja
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (8 download)
Download or read book Modelling Nonlinearities in Long-memory Time Series written by Mustapha Belkhouja and published by . This book was released on 2010 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation deals with the detection and the estimation of structural changes in long memory economic and financial time series. Within the rest three chapters we focused on the univariate case to model both the long range dependence and structural changes in the mean and the volatility of the examined series. In the beginning we just take into account abrupt regime switches but after we use more developed nonlinear models in order to capture the smooth time variations of the dynamics. Otherwise we analyse the efficiency of various techniques permitting to select the number of breaks and we assess the robustness of the used tests in a long memory environment via simulations. Last, this thesis was completed by an extension to multivariate models. These models allow us to detect the impact of some series on the others and identify the relationships among them. The interdependencies between the financial variables were studied and analysed both in the short and the long range. While structural changes were not considered in the last chapter, our multivariate model takes into account asymmetry effects and the long memory behaviour in the volatility.
Download or read book Asymmetric effects and long memory in the volatility of djia stocks written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatilidade dos ativos financeiros reflete uma reação prosseguida dos agentes a choques no passado ou alterações nas condições dos mercados determinam mudanças na dinâmica da variável? Enquanto modelos fracionalmente integrados vêm sendo extensamente utilizados como uma descrição adequada do processo gerador de séries de volatilidade, trabalhos teóricos recentes indicaram que mudanças estruturais podem ser uma relevante alternativa empírica para o fato estilizado de memória longa. O presente trabalho investiga o que alterações nos mercados significam nesse contexto, introduzindo variações de preços como uma possível fonte de mudanças no nível da volatilidade durante algum período, com grandes quedas (ascensões) nos preços trazendo regimes persistentes de variância alta (baixa). Uma estratégia de modelagem sistemática e flexível é estabelecida para testar e estimar essa assimetria através da incorporação de retornos acumulados passados num arcabouço não-linear. O principal resultado revela que o efeito é altamente significante estima-se que níveis de volatilidade 25% e 50% maiores estão associados a quedas nos preços em períodos curtos e é capaz de explicar altos valores de estimativas do parâmetro de memória longa. Finalmente, mostra-se que a modelagem desse efeito traz ganhos importantes para aplicações fora da amostra em períodos de volatilidade alta.
Author : Olan Henry
Publisher :
ISBN 13 : 9780732512422
Total Pages : 23 pages
Book Rating : 4.5/5 (124 download)
Download or read book Modelling the Asymmetry of Stock Market Volatility written by Olan Henry and published by . This book was released on 1995 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yuthana Sethapramote
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)
Download or read book Evaluation of Value-at-Risk Estimation Using Long Memory Volatility Models written by Yuthana Sethapramote and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the accuracy of Value-at-Risk (VaR) estimation in the Stock Exchange of Thailand. We apply standard conditional volatility models (GARCH) and the GARCH model with long memory process (FIGARCH) in calculation of VaR. The empirical results from R|S statistics show that there is significant evidence of long memory process in volatility but not in mean of SET50 index returns. Comparing accuracy of VaR estimation, the results from the Kupiec-LR test show that 1-day ahead 1% VaR values calculated using FIGARCH(1,d,1) model with normal innovations are more accurate than those generated using short memory GARCH(1,1) models. Considering the Bank of International Settlement (BIS)'s regulatory back-testing, the results also confirm that the long memory models provide better performance than those of the standard GARCH models. In summary, our empirical results indicate that long-range memory could provide better performance in risk management than that of standard GARCH in the case of Stock Exchange of Thailand. However, our results from FIGARCH still do not outperform those of the asymmetric GARCH.
Author : Hao Sun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Volatility Asymmetry in Functional Threshold GARCH Model written by Hao Sun and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling volatility is one of the prime objectives of financial time-series analysis. A significant feature encountered in the modeling of financial data is the asymmetric response to the volatility process of unanticipated shocks. With improvements in data acquisition, functional versions of the heteroskedastic models have emerged to deal with the high-frequency observations. Although previous studies have developed some functional time-series methods, it remains a necessity to analyze the variations in the asymmetry of the discrete model and the function model. In this study, we propose a functional threshold GARCH (fTGARCH) model and extend the news impact curve (NIC) and the cumulative impact response function (CIRF) within the functional heteroskedastic framework. We find that the fTGARCH model can describe the asymmetry of the observation data, which are revealed by the sample cross-correlation functions. The slope of the NIC changes with time for functional GARCH class models, and the changes are asymmetrical for the fTGARCH model. Using the generalized CIRF, we can explore the persistent effects of volatility for the functional GARCH class models. By fitting the models to the S&P 500 stock market index, we conclude that the fTGARCH model has some flexibility and superiority in regard to volatility asymmetry.
Author : Harry Vander Elst
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (98 download)
Download or read book FloGARCH written by Harry Vander Elst and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Rothman
Publisher : Springer Science & Business Media
ISBN 13 : 0792383796
Total Pages : 394 pages
Book Rating : 4.7/5 (923 download)
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 1999-01-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Author : Ramazan Gençay
Publisher : Elsevier
ISBN 13 : 008049904X
Total Pages : 411 pages
Book Rating : 4.0/5 (84 download)
Download or read book An Introduction to High-Frequency Finance written by Ramazan Gençay and published by Elsevier. This book was released on 2001-05-29 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Author : Daniel R. Smith
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asymmetry in Stochastic Volatility Models written by Daniel R. Smith and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the ability of correlation and threshold effects in a stochastic volatility model to capture the asymmetric relationship between stock returns and volatility. The parameters are estimated using Maximum Likelihood based on the extended Kalman filter and uses numerical integration over the latent volatility process. The stochastic volatility model with only correlation does a better job of capturing asymmetry than a threshold stochastic volatility model even though it has fewer parameters. We develop a stochastic volatility model that includes both threshold effects and correlated innovations. We find that the general model with both threshold effects and correlated innovations dominates purely threshold and correlated models. In this augmented model volatility and returns are negatively correlated, and volatility is more persistent, less volatile and higher following negative returns even after accounting for the negative correlation.
