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Author : Xiying Zhang
Publisher :
ISBN 13 :
Total Pages : 480 pages
Book Rating : 4.:/5 (968 download)
Download or read book Essays on Modeling Conditional Volatility with Regime Switches written by Xiying Zhang and published by . This book was released on 2000 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sebastian Trojan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (93 download)
Download or read book Essays on Multivariate Stochastic Volatility Models written by Sebastian Trojan and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay describes a very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information content of the range and of implied volatility using the VIX index is also analyzed. Database is the S & P 500 index. Asymmetry in the observation error is modeled by the generalized hyperbolic skew Student-t distribution, whose heavy and light tail enable substantial skewness. Resulting number of regimes and dynamics differ dependent on the auxiliary volatility proxy and are investigated in-sample for the financial crash period 2008/09 in more detail. An out-of-sample study comparing predictive ability of various model variants for a calm and a volatile period yields insights about the gains on forecasting performance from different volatility proxies. Results indicate that including RV or the VIX pays off mostly in more volatile market conditions, whereas in calmer environments SV specifications using no auxiliary series outperform. The range as volatility proxy provides a superior in-sample fit, but its predictive performance is found to be weak. The second essay presents a high frequency stochastic volatility model. Price duration and associated absolute price change in event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic conditional duration (SCD) model. Estimation is with IBM stock intraday data 2001/10 (decimalization completed), taking a minimum midprice threshold of a half tick. Persistent information flow is extracted, featuring a positively correlated innovation term and negative cross effects in the AR(1) persistence matrix. Additionally, regime switching in both duration and absolute price change is introduced to increase nonlinear capabilities of the model. Thereby, a separate price jump.
Author : Yanlin Shi
Publisher :
ISBN 13 :
Total Pages : 326 pages
Book Rating : 4.:/5 (953 download)
Download or read book Essays on Time Series Analysis written by Yanlin Shi and published by . This book was released on 2014 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is a collection of essays on modelling volatility with time series techniques. The first essay addresses the question of modelling structural breaks in the Fractionally Integrated Generalised Autoregressive Conditional Heteroskedasticity (FIGARCH) model. By detecting structural change points via the Markov Regime-Switching (MRS) framework, a two-stage Three-State FIGARCH (3S-FIGARCH) model is proposed. Compared with various existing FIGARCH family models, our empirical results suggest that the 3S-FIGARCH model is preferred in all cases and can potentially provide a more reliable estimate of the long-memory parameter. The second essay examines the confusion between long memory and regime switching in volatility via a set of Monte Carlo simulations. A theoretical proof is provided to show that this confusion is caused by the effects of the smoothing probability from the data-generating process (DGP) of the MRS-GARCH model. To control for these effects, the MRS-FIGARCH model is proposed. By conducting a set of Monte Carlo simulations, we show that the MRS-FIGARCH model can effectively distinguish between the pure FIGARCH and pure MRS-GARCH DGPs. Further, an empirical application suggests that the MRS-FIGARCH can be a widely useful tool for volatility modelling. The third essay empirically studies the relation between public information arrivals and intraday stock return volatility. Motivated by the Mixture of Distribution Hypothesis (MDH) and the study of Veronesi (1999), we fit hourly Standard & Poor's (S&P) 100 stock return data with the MRS-GARCH model to investigate the effect of the quantity and quality of news on stock return volatility in the calm (low volatility) and turbulent (high volatility) states. The effect of news on the persistence and magnitude of volatility depends on the quality of news and the state of stock return volatility. In addition, this effect varies across sectors and firm sizes. The fourth essay analyses the effects of news on the so-called 'idiosyncratic volatility puzzle'. By empirically modelling the stock return data from the Center for Research in Security Prices (CRSP) database from 2000 to 2011, we demonstrate that both the quantity and quality of news can significantly explain the effect of idiosyncratic volatility on excess returns. Specifically, when news effects are appropriately controlled, the average magnitude of this effect can be reduced by roughly 50 per cent.
Author : Juri Marcucci
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (255 download)
Download or read book Essays on Financial Econometrics written by Juri Marcucci and published by . This book was released on 2005 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three self-contained chapters dealing with volatility modeling and forecasting. In the first chapter we compare a set of standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. The empirical analysis demonstrates that MRS-GARCH models do really outperform all standard GARCH models in forecasting volatility at horizons shorter than one week. In particular, all tests reject the presence of a better model than the MRS-GARCH with normal innovations. However, at forecast horizons longer than one week, standard asymmetric GARCH models tend to be superior. In chapter 2 a new model to analyze the comovements in the volatilities of a portfolio is proposed. The Pure Variance Common Features model is a factor model for the conditional variances of a portfolio of assets, designed to isolate a small number of variance features that drive all assets' volatilities. It decomposes the conditional variance into a short-run idiosyncratic component (a low-order ARCH process) and a long-run component (the variance factors). An empirical example provides evidence that models with very few variance features perform well in capturing the long-run common volatilities of the equity components of the Dow Jones. In the third and last chapter we compare standard univariate models and multivariate factor models in terms of their ability to forecast the realized variances of a group of major international stock exchanges. Our results show that those models adopting equally weighted regional factors outperform all the others. In addition, models that use factors obtained from canonical correlation analysis tend to outperform all the others that employ different multivariate techniques, therefore confirming their predicting power.
Author : Pujin Liu
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (17 download)
Download or read book Volatility, Duration, and Value-at-risk written by Pujin Liu and published by . This book was released on 2012 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis consists of three essays dealing with the modeling of volatility in financial markets, trade durations, and Value-at-Risk (VaR). The first essay models nonlinearities in the return series to estimate time-varying volatility by incorporating both regime changes and jumps. Two types of regime-switching GARCH-jump models with autoregressive jump intensity are presented. The first model follows the traditional Markov regime-switching model proposed in Hamilton (1989). As the unknown regimes in the Markov model lead to difficulty in forecasting, a threshold GARCH-jump model, in which regimes are known after observing the threshold variable in the previous period, is also proposed. The second essay models the intraday durations between two adjacent trade transactions by considering the impact of unaccounted struc- tural changes on parameter estimates. Monte Carlo simulations show that the observed high persistence in trade durations can be spurious and caused by unaccounted structural changes in the data generating process. The third essay investigates the use of realized moments in VaR forecasting, which is an important issue in risk management. Many VaR models rely only on the mean and volatility and ignore higher moments of returns, which leads to un- derestimation of VaR due to the unaccounted fat-tail property of the return series. Applying the Cornish-Fisher expansion to incorporate realized higher moments constructed from high frequency data, the proposed realized moment models outperform the realized volatility model and the traditional RiskMet- rics model, especially during the financial crisis period (2008-09).
Author : Wei-Choun Yu
Publisher :
ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on the Volatility of Macroeconomic and Financial Time Series written by Wei-Choun Yu and published by . This book was released on 2006 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pak-Hang Lo
Publisher :
ISBN 13 : 9781361333310
Total Pages : pages
Book Rating : 4.3/5 (333 download)
Download or read book On a Buffered Conditional Volatility Process written by Pak-Hang Lo and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "On a Buffered Conditional Volatility Process" by Pak-hang, Lo, 勞柏衡, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: The traditional threshold time series model is famous for its capability in capturing asymmetry. Regime switching takes place immediately when a certain variable crosses the threshold. However, this type of model may not be suitable for data which have no clear cut between regimes. A new generation of threshold type model, buffered time series model, is modified from the traditional threshold time series model. A buffer zone is introduced to replace the role of the threshold; regime switching will not take place within the buffer zone. The regime switching mechanism mimicks a climatological example and the buffered model may be suitable for data in which there is a region where the probabilistic structure of the data is insensitive to changes. Self-exciting buffered generalized autoregressive conditional heteroscedasticity (buffered GARCH) model is considered. Quasi-maximum likelihood is employed for parameter estimation. Strong consistency and asymptotic distributions are derived. Simulation experiments are carried out to verify the properties of the estimators. The buffered GARCH model is applied to two currency exchange rate data sets, US dollar to Moroccan dirham exchange rate and US dollar to Israeli new shekel exchange rate. At the same time, threshold GARCH model is also applied to the data sets in order to have comparison between the buffered GARCH model and threshold GARCH model. It is found that the buffered GARCH model beats the threshold GARCH model in terms of one information criterion, revealing that the buffered GARCH model may have advantage over the threshold GARCH model. DOI: 10.5353/th_b5177344 Subjects: Time-series analysis
Author : Peilin Hsieh
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (913 download)
Download or read book Three Essays on Volatility written by Peilin Hsieh and published by . This book was released on 2013 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation focuses on economic studying of volatility issues. Three essays are contained in my dissertation. Essay 1 extends a microstructure model to explain the change of volatility and thus links traders' belief to the volatility change. Our model shows that when market is more uncertain about the value of the stock, the higher the (return) volatility. Essay 2 turns to explore more economic factors that could cause volatility regime switch. We find that US stock return processes, including drift, diffusion, and jump, differ along with US political cycle. Our results imply that the presidency in different parties has distinct policy making processes and thus influence the way information flows into the market, altering the return processes. In the final essay, we document and explain a volatility Bid-Ask spread pattern that increases as time to maturity decreases. Our research develops a model that explains the volatility spread pattern. We show that, as time passes, the required hedging uncertainty premium charged by the liquidity providers decays more slowly while the premium contained in the quoted options price decays at an increasingly higher rate which is determined by the option pricing model. Therefore, liquidity providers need to increase asking and decrease bidding volatility to maintain the profit necessary to compensate slowly decaying hedging uncertainty premium. Our results strongly suggest that studies on volatility spread should detrend the data to make the estimation models correct as well as the series stationary. Without adjusting the trend and autocorrelation problems, statistical results are inaccurate and misleading. More importantly, based on our theoretical model, we also find that: (a) the implied volatility spread does not increase in proportion to the increase of implied volatility, and (b) the increase of volatility uncertainty is not a sufficient condition for an increase in the percentage spread. Finally, to augment the validity of our claims, we provide rigorous econometric tests which support our propositions.
Author : Pierre Guérin
Publisher :
ISBN 13 :
Total Pages : 151 pages
Book Rating : 4.:/5 (851 download)
Download or read book Essays in Applied Time Series Econometrics written by Pierre Guérin and published by . This book was released on 2011 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter of this thesis, I estimate Markov-switching models with time-varying transition probabilities to predict the US business cycle regimes. In particular, I evaluate the predictive power of real and financial indicators and find that the slope of the yield curve turns out to be the most reliable indicator for regime predictions. This first chapter paves the way for the next two chapters of this thesis that also use models with Markov-switching for analysing the business cycle. The second chapter (a joint work with Massimiliano Marcellino) combines the Markovswitching model with the MIxed DAta Sampling (MIDAS) model. This new model uses information from variables sampled at different frequencies. We first show in a Monte-Carlo experiment that our estimation method yields accurate estimates. We then apply this new model to the prediction of both the business cycle regimes and GDP growth for the US and the UK. We find that the use of high frequency information and parameter switching performs better than using each of these two features separately. In the third chapter (a joint work with Laurent Maurin and Matthias Mohr), we estimate nine different models of the output gap (univariate, multivariate, linear and non-linear) and compute model-averaged estimates of the output gap. We find some evidence for changes in the slope of the trend of the Euro area output for few periods in 1974 and 2009. Moreover, our model-averages measures of the output gap reduce the uncertainty associated with the output gap estimates and soften the impact of data revisions. We then evaluate the forecasting performance of our output gap estimates for inflation and find that the output gap estimates improve on the forecasting performance of standard AR benchmarks for inflation although the inflation forecasts based on the output gap estimates exhibit a poor forecasting performance since 2008. The last chapter of this thesis (a joint work with Eric Ghysels and Massimiliano Marcellino) is an empirical evaluation of the risk-return relation. We use a MIDAS estimator of the conditional variance and model regime changes in the parameter entering before the conditional variance. We find evidence for a reversed risk-return relation in periods of high volatility, while we uncover the traditional positive risk-return relation in periods of low volatility. In particular, the high volatility regime is interpreted as a flight-to-quality regime. This finding is robust to a large range of specifications.
Author : Osman Kubilay Gursel
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (516 download)
Download or read book Three Essays on Long Memory Tests for Persistence in Volatility and Structural Vector Autoregression Modeling of Real Exchange Rates written by Osman Kubilay Gursel and published by . This book was released on 2002 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter the performance of two of the long memory tests, the Modified Rescaled Range Test and Geweke and Porter-Hudak Test for persistence in small samples is examined using Monte-Carlo methods. Some possible candidates for persistence in volatility are Autoregressive Conditional Heteroskedasticity (ARCH), Markov Regime Switching ARCH, and long memory. The long memory series are simulated through a Semi-Markov process with Pareto waiting times and lognormal realizations. The persistence in volatility arising from transition waiting probabilities for a Markov Regime Switching process, and from the tail index of the waiting time distribution for the Semi-Markov process is established through simulations with different parameter values. There is evidence that persistence in a regime switching process is closely linked to state transition probabilities and waiting times. The second chapter re-examines what structural vector autoregressive modeling of real exchange rates with differenced variables tells us about interesting macroeconomic questions. Using quarterly data from G-7 countries in the post Bretton-Woods period, the evidence suggests that shock identification is not an easy process in a Blanchard and Quah decomposition framework with long run restrictions. Confidence bands do not find significant impulse responses and the signs of the estimated impulse responses are very sensitive to the lag selection criteria adopted. Possible cointegration effects seem to be the main driving force behind the unsatisfactory performance of the structural approach. Chapter three extends the structural vector autoregression model by incorporating cointegration effects. Using the method of Warne (1993), in a simple four-variable vector autoregression (VAR) characterized by cointegration, the response of real exchange rates to various economic shocks are investigated with economically plausible long-run restrictions. The long-run relations and driving stochastic trends of the real exchange rate between United States and other G-7 countries are analyzed in a structural cointegrated framework. Productivity shocks depreciate the real exchange rate and the perverse sign effect of supply shock is corrected for most countries in the sample. More significant impulse responses are observed through confidence intervals. The structural vector error correction decompositions are also found to be not robust to estimating with different lag lengths owing to additional cointegration effects.
Author : Frank Ofori-Acheampong
Publisher :
ISBN 13 :
Total Pages : 87 pages
Book Rating : 4.:/5 (19 download)
Download or read book Three Essays on Asset Price Bubbles written by Frank Ofori-Acheampong and published by . This book was released on 2018 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines various issues associated with asset price bubbles. In the first essay, a Markov regime-switching model with time-varying transition probabilities is developed to identify asset price bubbles in the S&P 500 Index. The model nests two different methodologies; a state-dependent regime-switching model and a Markov regime-switching model. Three bubble regimes are identified; dormant, explosive, and collapsing. Time-varying transition probabilities are specified for each of the nine possible transitions in the Markov regime-switching model. Estimation of the model is done using conditional maximum likelihood with the Hamilton filter. Results show that transition probabilities depend significantly on trading volume and relative size of the bubble. Overall, the model works well in detecting multiple bubbles in the S&P 500 between January 1888 and May 2010. In the second essay, a cross-market propagation of asset price bubbles is analyzed using a three-regime multivariate Markov switching model. The three bubble regimes identified are dormant (characterized by high returns and low volatility), explosive (characterized by high returns and high volatility), and collapse (characterized by low returns and high volatility). Results show that bubbles in the price of crude oil are influenced by bubble sizes in the S&P 500 Index and the price of gold. The bubble dynamics in gold price are driven by the bubble size in the S&P 500 Index. Lastly, bubbles in the S&P 500 Index tend to be driven largely by bubbles in crude oil price. Gold appears to be the most stable asset, having the least impact from the rest of the market. The stability in gold price provides a case for gold serving as a safe haven asset in times of crisis or a hedge in normal times. The study uses monthly data from July 1989 to December 2014. Finally, the third essay investigates the role of the Federal Reserve in the housing bubble between 2000 and 2006 as well as the eventual collapse of the bubble during the Great Recession. A mean group panel VAR is estimated for U.S states that experienced housing bubbles during the period. Two transmission channels are identified: an interest rate channel and a credit channel. The interest rate channel is traced with 30-year fixed mortgage rates whereas the credit channel is traced with real estate loans by all commercial banks in the U.S. Results show that the interest rate channel produces a greater impact on housing bubbles, following an expansionary monetary policy shock. The credit channel has a lower impact on housing bubbles following a monetary policy shock. The direct impact of a monetary policy shock on real estate loans gives evidence on the lending behavior of commercial banks in periods leading up to the recession. Overall, evidence shows that the Federal Reserve had a significant role in the housing bubble and the subsequent Great Recession. The date for the study spans 1998 to 2008.
Author : Badi H. Baltagi
Publisher : Emerald Group Publishing
ISBN 13 : 1781903085
Total Pages : 576 pages
Book Rating : 4.7/5 (819 download)
Download or read book Essays in Honor of Jerry Hausman written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2012-12-17 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Author : Mario Giacomazzo
Publisher :
ISBN 13 :
Total Pages : 187 pages
Book Rating : 4.:/5 (115 download)
Download or read book Three Essays on Shrinkage Estimation and Model Selection of Linear and Nonlinear Time Series Models written by Mario Giacomazzo and published by . This book was released on 2018 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective in time series analysis is forecasting. Raw data often exhibits nonstationary behavior: trends, seasonal cycles, and heteroskedasticity. After data is transformed to a weakly stationary process, autoregressive moving average (ARMA) models may capture the remaining temporal dynamics to improve forecasting. Estimation of ARMA can be performed through regressing current values on previous realizations and proxy innovations. The classic paradigm fails when dynamics are nonlinear; in this case, parametric, regime-switching specifications model changes in level, ARMA dynamics, and volatility, using a finite number of latent states. If the states can be identified using past endogenous or exogenous information, a threshold autoregressive (TAR) or logistic smooth transition autoregressive (LSTAR) model may simplify complex nonlinear associations to conditional weakly stationary processes. For ARMA, TAR, and STAR, order parameters quantify the extent past information is associated with the future. Unfortunately, even if model orders are known a priori, the possibility of over-fitting can lead to sub-optimal forecasting performance. By intentionally overestimating these orders, a linear representation of the full model is exploited and Bayesian regularization can be used to achieve sparsity. Global-local shrinkage priors for AR, MA, and exogenous coefficients are adopted to pull posterior means toward 0 without over-shrinking relevant effects. This dissertation introduces, evaluates, and compares Bayesian techniques that automatically perform model selection and coefficient estimation of ARMA, TAR, and STAR models. Multiple Monte Carlo experiments illustrate the accuracy of these methods in finding the "true" data generating process. Practical applications demonstrate their efficacy in forecasting.
Author : Jingyi Liu (Ph.D.)
Publisher :
ISBN 13 :
Total Pages : 279 pages
Book Rating : 4.:/5 (643 download)
Download or read book Three Essays in the Financial Economics of Conditional Volatility written by Jingyi Liu (Ph.D.) and published by . This book was released on 2009 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haiqing Zheng
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (88 download)
Download or read book Essays on Modeling of Volatility, Duration and Volume in High-frequency Data written by Haiqing Zheng and published by . This book was released on 2012 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Three Essays in the Financial Economics of Conditional Volatility written by J. Liu and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luc Bauwens
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (255 download)
Download or read book Regime Switching Garch Models written by Luc Bauwens and published by . This book was released on 2006 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
