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Volatility Modelling Using Long Memory Garch Models Applications Of Sp Tsx Composite Index
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Book Synopsis Volatility Modelling Using Long-Memory- GARCH Models, Applications of S&P/TSX Composite Index by : Mohammadsaeid Rahmani
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.
Book Synopsis Long Memory in Stock Market Volatility and the Volatility-in-mean Effect by : Bent J. Christensen
Download or read book Long Memory in Stock Market Volatility and the Volatility-in-mean Effect written by Bent J. Christensen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetry and Long Memory in Volatility Modelling by : Manabu Asai
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:
Book Synopsis A Stochastic Volatility Model with Random Level Shifts by : Zhongjun Qu
Download or read book A Stochastic Volatility Model with Random Level Shifts written by Zhongjun Qu and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical findings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for the appearance of long-memory and there is growing evidence suggesting that it may be an important feature of stock returns volatility. Nevertheless, it remains a conjecture that a model incorporating random level shifts in variance can explain the data well and produce reasonable forecasts. We show that a very simple stochastic volatility model incorporating both a random level shift and a short-memory component indeed provides a better in-sample fit of the data and produces forecasts that are no worse, and sometimes better, than standard stationary short and long-memory models. We use a Bayesian method for inference and develop algorithms to obtain the posterior distributions of the parameters and the smoothed estimates of the two latent components. We apply the model to daily S&P 500 and NASDAQ returns over the period 1980.1-2005.12. Although the occurrence of a level shift is rare, about once every two years, the level shift component clearly contributes most to the total variation in the volatility process. The half-life of a typical shock from the short-memory component is very short, on average between 8 and 14 days. We also show that, unlike common stationary short or long-memory models, our model is able to replicate keys features of the data. For the NASDAQ series, it forecasts better than a standard stochastic volatility model, and for the S&P 500 index, it performs equally well.
Book Synopsis Volatility Modeling Using GARCH by : Zhuanxin Ding
Download or read book Volatility Modeling Using GARCH written by Zhuanxin Ding and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explains why a two-component GARCH model as proposed by Ding and Granger (1996) or Engle and Lee (1999) can be an ideal alternative model for practitioners in modeling stock return volatility. I show that the two-component GARCH model can easily capture the slow hyperbolic decay of the sample autocorrelation function for the absolute or squared returns that is commonly found in empirical data. Compared to the alternative long memory GARCH model, the two-component GARCH model is easy to estimate and implement.
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.
Book Synopsis Financial Risk Management with Bayesian Estimation of GARCH Models by : David Ardia
Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Book Synopsis Alternative Assets and Cryptocurrencies by : Christian Hafner
Download or read book Alternative Assets and Cryptocurrencies written by Christian Hafner and published by MDPI. This book was released on 2019-07-26 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.
Book Synopsis Investment Guarantees by : Mary Hardy
Download or read book Investment Guarantees written by Mary Hardy and published by John Wiley & Sons. This book was released on 2003-03-06 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.
Book Synopsis Pairs Trading by : Ganapathy Vidyamurthy
Download or read book Pairs Trading written by Ganapathy Vidyamurthy and published by John Wiley & Sons. This book was released on 2011-02-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Book Synopsis Fintech with Artificial Intelligence, Big Data, and Blockchain by : Paul Moon Sub Choi
Download or read book Fintech with Artificial Intelligence, Big Data, and Blockchain written by Paul Moon Sub Choi and published by Springer Nature. This book was released on 2021-03-08 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to recent advancements in financial technologies. The contents cover some of the state-of-the-art fields in financial technology, practice, and research associated with artificial intelligence, big data, and blockchain—all of which are transforming the nature of how products and services are designed and delivered, making less adaptable institutions fast become obsolete. The book provides the fundamental framework, research insights, and empirical evidence in the efficacy of these new technologies, employing practical and academic approaches to help professionals and academics reach innovative solutions and grow competitive strengths.
Book Synopsis How can I get started Investing in the Stock Market by : Lokesh Badolia
Download or read book How can I get started Investing in the Stock Market written by Lokesh Badolia and published by Educreation Publishing. This book was released on 2016-10-27 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is well-researched by the author, in which he has shared the experience and knowledge of some very much experienced and renowned entities from stock market. We want that everybody should have the knowledge regarding the different aspects of stock market, which would encourage people to invest and earn without any fear. This book is just a step forward toward the knowledge of market.
Book Synopsis Regulations in the Energy Industry by : André Dorsman
Download or read book Regulations in the Energy Industry written by André Dorsman and published by Springer Nature. This book was released on 2020-02-12 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad overview of the financial, economic and legal implications of energy industry regulations in various countries. In light of significant changes around the globe, it analyses various institutions that are involved in regulative measures, and based on various country studies, it offers insights into how energy sector regulations differ across countries with different market structures and institutions. Covering major topics such as laws and regulations geared to market competition and sustainability and the impact of noncompliance to regulations, from the perspectives of financial markets, and financial risks, the book is divided into four parts: Part I Regulations: price and trade controls; Part II. Non-price & trade control regulations; Part III: Compliance with regulations; and Part IV: Market issues and regulation. It will appeal to scholar in economics, finance and related fields as well as to policymakers and practitioners in the energy industry. This is the seventh volume in a series on energy organized by the Centre for Energy and Value Issues (CEVI). The previous volumes in the series were: Financial Aspects in Energy (2011), Energy Economics and Financial Markets (2012), Perspectives on Energy Risk (2014), Energy Technology and Valuation Issues (2015), Energy and Finance (2016) and Energy Economy, Finance and Geostrategy (2018).
Book Synopsis Advances in Markov-Switching Models by : James D. Hamilton
Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Book Synopsis Handbook of Computational Econometrics by : David A. Belsley
Download or read book Handbook of Computational Econometrics written by David A. Belsley and published by John Wiley & Sons. This book was released on 2009-08-18 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations. This book: Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies. Brings together contributions from leading researchers. Develops the techniques needed to carry out computational econometrics. Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation. This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels.
Book Synopsis A Hand Book of Statistics by : Paruchuri R. Krishnaiah
Download or read book A Hand Book of Statistics written by Paruchuri R. Krishnaiah and published by Motilal Banarsidass Publishe. This book was released on with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Applied Econometric Times Series by : Walter Enders
Download or read book Applied Econometric Times Series written by Walter Enders and published by . This book was released on 1995 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced text for a course on time series econometrics introduces modern time series analyses through the use of wide-ranging examples and applications. Providing a balance between macro- and microeconomic applications, the book covers recent work that has only been published in journals.
