A Simple Test For Garch Against A Stochastic Volatility Model
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A Simple Test Of Garch Against A Stochastic Volatility Model
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Author :
language : en
Publisher:
Release Date : 2005
A Simple Test Of Garch Against A Stochastic Volatility Model written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
A Simple Test For Garch Against A Stochastic Volatility Model
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Author : Philip Hans Franses
language : en
Publisher:
Release Date : 2010
A Simple Test For Garch Against A Stochastic Volatility Model written by Philip Hans Franses and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
GARCH models and Stochastic Volatility (SV) models can both be used to describe unobserved volatility in asset returns. We consider the issue of testing a GARCH model against an SV model. For that purpose, we propose a new and parsimonious GARCH-t model with an additional restricted moving average term, which can capture SV model properties. We discuss model representation, parameter estimation, and our simple test for model selection. Furthermore, we derive the theoretical moments and the autocorrelation function of our new model. We illustrate our model and test for nine daily stock-return series.
Decision Sciences
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Author : Raghu Nandan Sengupta
language : en
Publisher: CRC Press
Release Date : 2016-11-30
Decision Sciences written by Raghu Nandan Sengupta and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-30 with Business & Economics categories.
This handbook is an endeavour to cover many current, relevant, and essential topics related to decision sciences in a scientific manner. Using this handbook, graduate students, researchers, as well as practitioners from engineering, statistics, sociology, economics, etc. will find a new and refreshing paradigm shift as to how these topics can be put to use beneficially. Starting from the basics to advanced concepts, authors hope to make the readers well aware of the different theoretical and practical ideas, which are the focus of study in decision sciences nowadays. It includes an excellent bibliography/reference/journal list, information about a variety of datasets, illustrated pseudo-codes, and discussion of future trends in research. Covering topics ranging from optimization, networks and games, multi-objective optimization, inventory theory, statistical methods, artificial neural networks, times series analysis, simulation modeling, decision support system, data envelopment analysis, queueing theory, etc., this reference book is an attempt to make this area more meaningful for varied readers. Noteworthy features of this handbook are in-depth coverage of different topics, solved practical examples, unique datasets for a variety of examples in the areas of decision sciences, in-depth analysis of problems through colored charts, 3D diagrams, and discussions about software.
Testing The Empirical Performance Of Stochastic Volatility Models Of The Short Term Interest Rate
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Author : Turan G. Bali
language : en
Publisher:
Release Date : 2012
Testing The Empirical Performance Of Stochastic Volatility Models Of The Short Term Interest Rate written by Turan G. Bali and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
I introduce two-factor discrete time stochastic volatility models of the short-term interest rate to compare the relative performance of existing and alternative empirical specifications. I develop a nonlinear asymmetric framework that allows for comparisons of non-nested models featuring conditional heteroskedasticity and sensitivity of the volatility process to interest rate levels. A new class of stochastic volatility models with asymmetric drift and nonlinear asymmetric diffusion process is introduced in discrete time and tested against the popular continuous time and symmetric and asymmetric GARCH models. The existing models are rejected in favor of the newly proposed models because of the asymmetric drift of the short rate, and the presence of nonlinearity, asymmetry, GARCH, and level effects in its volatility. I test the predictive power of nested and non-nested models in capturing the stochastic behavior of the risk-free rate. Empirical evidence on three-, six-, and 12-month U.S. Treasury bills indicates that two-factor stochastic volatility models are better than diffusion and GARCH models in forecasting the future level and volatility of interest rate changes.
Handbook Of Volatility Models And Their Applications
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Author : Luc Bauwens
language : en
Publisher: John Wiley & Sons
Release Date : 2012-04-17
Handbook Of Volatility Models And Their Applications written by Luc Bauwens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-17 with Business & Economics categories.
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.
Model Selection And Testing Of Conditional And Stochastic Volatility Models
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Author : Massimiliano Caporin
language : en
Publisher:
Release Date : 2010
Model Selection And Testing Of Conditional And Stochastic Volatility Models written by Massimiliano Caporin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Econometric models categories.
Handbook Of Financial Time Series
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Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-21 with Business & Economics categories.
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.
Discriminating Between Garch And Stochastic Volatility Via Nonnested Hypotheses Testing
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Author :
language : en
Publisher:
Release Date : 2013
Discriminating Between Garch And Stochastic Volatility Via Nonnested Hypotheses Testing written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Goodness Of Fit Test For Continuous Time Stochastic Volatility Models
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Author : 李相烈
language : en
Publisher:
Release Date : 2013
Goodness Of Fit Test For Continuous Time Stochastic Volatility Models written by 李相烈 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Deciding Between Garch And Stochastic Volatility Via Strong Decision Rules
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Author : Arie Preminger
language : en
Publisher:
Release Date : 2008
Deciding Between Garch And Stochastic Volatility Via Strong Decision Rules written by Arie Preminger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the volatility of financial series. In this paper, we consider a closed form estimator for a stochastic volatility model and derive its asymptotic properties. We confirm our theoretical results by a simulation study. In addition, we propose a set of simple, strongly consistent decision rules to compare the ability of the GARCH and the SV model to fit the characteristic features observed in high frequency financial data such as high kurtosis and slowly decaying autocorrelation function of the squared observations. These rules are based on a number of moment conditions that is allowed to increase with sample size. We show that our selection procedure leads to choosing the best and simple model with probability one as the sample size increases. The finite sample size behaviour of our procedure is analyzed via simulations. Finally, we provide an application to stocks in the Dow Jones industrial average index.