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Accelerating GARCH and score-driven models : optimality, estimation and forecasting
Blasques, Francisco F.; Gorgi, Paolo; Koopman, Siem Jan S.J. - 2017
of US inflation using a model with time-varying mean and variance; we report significant improvements in the forecasting …
Persistent link: https://www.econbiz.de/10011688512
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
A simple methodology is presented for modeling time variation in volatilities and other higher-order moments using a recursive updating scheme similar to the familiar RiskMetricsTM approach. We update parameters using the score of the forecasting distribution. This allows the parameter dynamics...
Persistent link: https://www.econbiz.de/10011332948
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Score driven exponentially weighted moving average and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2014
We present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponentially weighted moving average and integrated dynamics of score driven time varying parameter...
Persistent link: https://www.econbiz.de/10010384110
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10009238009
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Forecasting Inflation with Gradual Regime Shifts and Exogenous Information
Hubrich, Kirstin - 2011
-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10013122536
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Forecasting inflation in Vietnam with univariate and vector autoregressive models
Tran Thanh Hoa - 2017
In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … properties of inflation in Vietnam. Then, I compute the pseudo out-of-sample root mean square error (RMSE) as a measure of … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …
Persistent link: https://www.econbiz.de/10011606109
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Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...
Persistent link: https://www.econbiz.de/10010488966
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Realized Range Volatility Forecasting : Dynamic Features and Predictive Variables
Caporin, Massimiliano - 2013
In this paper, we estimate, model and forecast Realized Range Volatility, a realized measure and estimator of the quadratic variation of financial prices. This quantity was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...
Persistent link: https://www.econbiz.de/10013076452
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Forecasting Exchange Rate Volatility : The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts
Benavides, Guillermo - 2009
This paper shows that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, (unconditional) combinations, and hybrid forecasts. Hence, it finds empirical evidence that both, combining...
Persistent link: https://www.econbiz.de/10012720373
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The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Hizmeri, Rodrigo - 2019
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...
Persistent link: https://www.econbiz.de/10012889687