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measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models …. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is …
Persistent link: https://www.econbiz.de/10013177995
Persistent link: https://www.econbiz.de/10010191413
dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231
models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …
Persistent link: https://www.econbiz.de/10009714536
Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10009771770
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010259630
of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …
Persistent link: https://www.econbiz.de/10012127861
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …
Persistent link: https://www.econbiz.de/10011674479
We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...
Persistent link: https://www.econbiz.de/10011958200