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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …
Persistent link: https://www.econbiz.de/10011303289
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - 2013
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10009771770
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Using Sentiment to Predict GDP Growth and Stock Returns
Guzman, Giselle - 2012
, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to …
Persistent link: https://www.econbiz.de/10013110894
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Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694
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The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10010477100
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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit
Guidolin, Massimo; Pedio, Manuela - 2020
coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …
Persistent link: https://www.econbiz.de/10012487265
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Forecasting banks return on equity using leading economic indicators
Jurevičienė, Daiva; Rauličkis, Darius - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 2, pp. 460-468
’ profitability forecasting, techniques, and most appropriate models to improve the correctness of predicting and acquiring more … forecasting. It conducts investigations for the relevant studies, using regression analysis, necessary tests, ascertains …
Persistent link: https://www.econbiz.de/10012501916
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Stock return predictability and market integration : the role of global and local information
McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18
is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing …
Persistent link: https://www.econbiz.de/10011487829
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Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...
Persistent link: https://www.econbiz.de/10011430242