Volatility Asymmetry In Functional Threshold Garch Model

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Volatility Asymmetry in Functional Threshold GARCH Model

Author : Hao Sun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Volatility Asymmetry in Functional Threshold GARCH Model by : Hao Sun

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.

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Author : Turgut Kisinbay
Publisher : International Monetary Fund
ISBN 13 : 1451855303
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons by : Turgut Kisinbay

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.

Forecasting Volatility in the Financial Markets

Author : John L. Knight
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750655156
Total Pages : 428 pages
Book Rating : 4.6/5 (551 download)

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Book Synopsis Forecasting Volatility in the Financial Markets by : John L. Knight

Download or read book Forecasting Volatility in the Financial Markets written by John L. Knight and published by Butterworth-Heinemann. This book was released on 2002 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.

On the Construction and Estimation of Asymmetric GARCH Models, and the Minimum Volume Sets for Time Series

Author : Jianing Di
Publisher :
ISBN 13 :
Total Pages : 482 pages
Book Rating : 4.:/5 (43 download)

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Book Synopsis On the Construction and Estimation of Asymmetric GARCH Models, and the Minimum Volume Sets for Time Series by : Jianing Di

Download or read book On the Construction and Estimation of Asymmetric GARCH Models, and the Minimum Volume Sets for Time Series written by Jianing Di and published by . This book was released on 2008 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The first part of the dissertation considers the modeling of financial volatility under a GARCH-type setup. The Generalized Autoregressive Conditionally Heteroscedastic (GARCH) model has earned popularity due to its ability to represent the features of financial returns based on simple model structures. However, new evidence suggests that certain stylized features, particularly the asymmetry of the financial returns, are not captured well by the regular GARCH model. This dissertation introduces two generalizations of the GARCH model that incorporate asymmetry novelly. The first approach is based on time-dependent coefficients of GARCH model that rely on smooth estimates of the local cross-correlation function, and is referred to as the Local Self-Adjusting Volatility (LSAV) model. This model generates stationary and ergodic return processes, and has close connection with the regime switching model. The other approach is based on generalization of the model via flexible semiparametric setup that does not require a parametric specification of the innovation distribution. Several semiparametric estimators are introduced. The proposed two-step estimator is shown to be consistent and asymptotically normal. The limiting distribution contains a vanishing bias term, and a variance-covariance matrix identical to that of the true MLE. The proposed one-step estimator follows the same type of limiting distribution, but with a different vanishing bias and a larger asymptotic variance-covariance matrix. This aspect of the model provides important insights into the efficiencies of the general class of semiparametric estimators of GARCH models. Numerical experiments are carried out to compare different estimators. The second part considers the construction of a minimum volume (MV) set of a multivariate stationary stochastic process. MIT sets provide a natural notion of the 'central mass' of a distribution and have recently become popular as a tool for the detection of anomalies in multivariate data. The proposed method is based on the concept of complexity-penalized estimation and has both desirable theoretical properties and a practical implementation. In particular, for a large class of processes, choice of the penalty reduces to the selection of a single tuning parameter. A data-dependent method for selecting this parameter is introduced. Numerical investigations are based on simulated data and real traffics of the Abilene network.

Stock Market Volatility

Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Stock Market Volatility by : Greg N. Gregoriou

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

The Threshold Effect in Expected Volatility

Author : Francois M. Longin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Threshold Effect in Expected Volatility by : Francois M. Longin

Download or read book The Threshold Effect in Expected Volatility written by Francois M. Longin and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article develops theoretical insight into the threshold effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses the Kyle-Admati-Pfleiderer setup with liquidity traders, informed traders, and a market maker. Information is modeled as a GARCH process. It is shown that the GARCH process for information is transformed into a TARCH process (for quot;Threshold GARCHquot;) for the market price changes. Working with information flows allows one to derive implications for trading volume and market liquidity which provide the basis for a more complete test of the model.

Modelling Volatility Asymmetries

Author : Petros Dellaportas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Modelling Volatility Asymmetries by : Petros Dellaportas

Download or read book Modelling Volatility Asymmetries written by Petros Dellaportas and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A new class of multivariate threshold GARCH models is proposed for the analysis and modelling of volatility asymmetries in financial time series. The approach is based on the idea of a binary tree where every terminal node parameterizes a (local) multivariate GARCH model for a specific partition of the data. A Bayesian stochastic method is developed and presented for the analysis of the proposed model consisting of parameter estimation, model selection and volatility prediction. A computationally feasible algorithm that explores the posterior distribution of the tree structure is designed using Markov chain Monte Carlo stochastic search methods. Simulation experiments are conducted to assess the performance of the proposed method, and an empirical application of the proposed model is illustrated using real financial time series.

Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement

Author : Elena Goldman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement by : Elena Goldman

Download or read book Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement written by Elena Goldman and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Time-varying Mixture GARCH Models and Asymmetric Volatility

Author : Markus Haas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (84 download)

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Book Synopsis Time-varying Mixture GARCH Models and Asymmetric Volatility by : Markus Haas

Download or read book Time-varying Mixture GARCH Models and Asymmetric Volatility written by Markus Haas and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Financial Time Series

Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

GARCH Models

Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313562
Total Pages : 504 pages
Book Rating : 4.1/5 (193 download)

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Book Synopsis GARCH Models by : Christian Francq

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-19 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Functional Instability or Paradigm Shift?

Author : Amitava Sarkar
Publisher : Springer Science & Business Media
ISBN 13 : 8132204662
Total Pages : 78 pages
Book Rating : 4.1/5 (322 download)

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Book Synopsis Functional Instability or Paradigm Shift? by : Amitava Sarkar

Download or read book Functional Instability or Paradigm Shift? written by Amitava Sarkar and published by Springer Science & Business Media. This book was released on 2012-03-13 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the working of the Indian stock market in recent years and attempts to look for functional instability, if any, embedded in the stock market. Specifically, it explores to discern whether there been any significant change in recent years in Indian stock market and the nature and characteristics of such changes, if any. It chooses the nine year period from 1999 to 2008. Over this period, stock market witnessed some major price changes: one in late 1999 that ended in mid 2001, another that commenced from mid 2004 and a recent one that in effect commenced from early 2008. There is significant volatility in the market with presence of risk premium;there is asymmetric impact. The market responds more to the negative shocks. The global stock market is having its influence on Indian stock market. The impact of developed country effect, particularly, that of US stock market has been the most prominent. There is some evidence for regional contagion. When we look at the domestic sectors, we see that the traditional sectors, -Capital Goods and Consumer Durables,are the two most predominant sectors. Other sectors, particularly the IT sector, have only a mild, almost insignificant impact on market volatility and transmits very little of its volatility to other sectors.

Forecasting Volatility in the Financial Markets

Author : John Knight
Publisher : Butterworth-Heinemann
ISBN 13 :
Total Pages : 376 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Forecasting Volatility in the Financial Markets by : John Knight

Download or read book Forecasting Volatility in the Financial Markets written by John Knight and published by Butterworth-Heinemann. This book was released on 1998 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.

Nonlinear Time Series

Author : Jianqing Fan
Publisher : Springer Science & Business Media
ISBN 13 : 0387693955
Total Pages : 565 pages
Book Rating : 4.3/5 (876 download)

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Book Synopsis Nonlinear Time Series by : Jianqing Fan

Download or read book Nonlinear Time Series written by Jianqing Fan and published by Springer Science & Business Media. This book was released on 2008-09-11 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book that integrates useful parametric and nonparametric techniques with time series modeling and prediction, the two important goals of time series analysis. Such a book will benefit researchers and practitioners in various fields such as econometricians, meteorologists, biologists, among others who wish to learn useful time series methods within a short period of time. The book also intends to serve as a reference or text book for graduate students in statistics and econometrics.

Market Risk Analysis, Practical Financial Econometrics

Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470998016
Total Pages : 437 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Market Risk Analysis, Practical Financial Econometrics by : Carol Alexander

Download or read book Market Risk Analysis, Practical Financial Econometrics written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Asset Price Dynamics, Volatility, and Prediction

Author : Stephen J. Taylor
Publisher : Princeton University Press
ISBN 13 : 1400839254
Total Pages : 544 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Asset Price Dynamics, Volatility, and Prediction by : Stephen J. Taylor

Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

Financial Mathematics, Volatility and Covariance Modelling

Author : Julien Chevallier
Publisher : Routledge
ISBN 13 : 1351669095
Total Pages : 381 pages
Book Rating : 4.3/5 (516 download)

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Book Synopsis Financial Mathematics, Volatility and Covariance Modelling by : Julien Chevallier

Download or read book Financial Mathematics, Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.