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Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

Persistent link: https://www.econbiz.de/10005407908

Non-stationarities in stock returns

Starica, Catalin; Granger, Clive - EconWPA - 2004

The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...

Persistent link: https://www.econbiz.de/10005119176

A Time-Series Analysis of the Shanghai and New York Stock Price Indices

Chow, Gregory C. - EconWPA - 2003

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Most surprisingly the volatility …

Persistent link: https://www.econbiz.de/10005556546

Inflation Premium and Oil Price Volatility

Castillo, Paul; Montoro, Carlos; Tuesta, Vicente - EconWPA - 2005

In this paper we establish a link between the volatility of oil price shocks and a positive expected value of inflation … relaxes certainty equivalence providing a link between the volatility of shocks and inflation premium. First, we obtain …

Persistent link: https://www.econbiz.de/10005126223

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

Mark, Nelson C.; Sul, Donggyu - EconWPA - 2004

When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is un- predictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power...

Persistent link: https://www.econbiz.de/10005077007

Nonlinearity, Nonstationarity and Spurious Forecasts

Marmer, Vadim - EconWPA - 2005

Implications of nonlinearity, nonstationarity and misspecification are considered from a forecasting perspective. My model allows for small departures from the martingale difference sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the...

Persistent link: https://www.econbiz.de/10005408003

Does Monetary Policy Have Asymmetric Effects on Stock Returns?

Chen, Shiu-Sheng - EconWPA - 2005

This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of the stance of monetary policy are adopted. Empirical evidence from monthly returns on the standard & Poor 500 (S&P 500) price index suggests that monetary...

Persistent link: https://www.econbiz.de/10005412588

Monetary Conditions and Stock Returns: A South African Case Study

Coetzee, Clive - EconWPA - 2002

Extensive research on the linkages between monetary conditions and stock returns has been conducted in developed countries. This is in sharp contrast to the situation in developing countries. This paper therefore aims to study the long believed asymmetrical relationship between changes in...

Persistent link: https://www.econbiz.de/10005413129

Long-Run Regressions: Theory and Application to US Asset Markets

Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004

The question of long-run predictability in the aggregate US stock market is still unsettled. This is due to the lack of a robust method to judge the statistical significance of long-run regressions under the maintained hypothesis. By developing a spectral theory of long-run regressions with both...

Persistent link: https://www.econbiz.de/10005413151

Predictive Regressions: A Reduced-Bias Estimation Method

Amihud, Yakov; Hurvich, Clifford - EconWPA - 2004

Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper...

Persistent link: https://www.econbiz.de/10005556357