Degiannakis and Xekalaki (1999) compare the forecasting ability of Autoregressive Conditional Heteroscedastic (ARCH) models using the Correlated Gamma Ratio (CGR) distribution. According to the PEC model selection algorithm, the models with the lowest sum of squared standardized one-step-ahead...

In this report, two important issues that arise in the evaluation of the standardized prediction error criterion (SPEC) model selection method are investigated in the context of a simulated options market. The first refers to the question of whether the performance of the SPEC algorithm is...

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki's (2005) poly-model standardized prediction error criterion (SPEC) algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that...

We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most...

Globalization has made this world inter-connected. World is turning into global village, where there is an amalgamation of various cultures. Migration has been a part of human history. Due to such mass movements multicultural societies came into existence which is quickly changing the face of...

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets. However, they have not succeeded yet as the testing...

We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous AutoRegressive (HAR) model. We obtain tick-by-tick data for five widely traded agricultural commodities (Corn, Rough Rice, Soybeans, Sugar, and Wheat) from the CME/ICE. Real...

The aim of this study is to assess whether fuel prices in Greece respond asymmetrically to changes in the global oil prices. To do so, we depart from the current practice in the literature that focuses on fuel prices. Rather, we consider the mark-up of both the refineries and retailers. Even...