Search Results - subject:"volatility forecasting."

Modeling and Forecasting Volatility – How Reliable are modern day approaches?

Mehta, Anirudh; Kanishka, Kunal - Volkswirtschaftliche Fakultät, … - 2014

This study explores the volatility models and evaluates the quality of one-step ahead forecasts of volatility constructed by (1) GARCH, (2) TGARCH, (3) Risk metrics and (4) Historical volatility. Volatility forecasts suggest that TGARCH performs relatively best in term of MSPE, followed by...

Persistent link: https://www.econbiz.de/10011109012

True or Spurious Long Memory in Volatility : Further Evidence on the Energy Futures Markets

Lanouar, Charfeddine - Institut de Préparation à l'Administration et à la … - 2014

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models that allow for long memory and/or structural changes :...

Persistent link: https://www.econbiz.de/10010891129

Forecasting Realized Volatility with Changes of Regimes

Gallo, Giampiero M.; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2014

Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long–memory, Markov...

Persistent link: https://www.econbiz.de/10010862522

Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models

Benschopa, Thijs; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010929781

Corporate Cash Hoarding in a Model with Liquidity Constraints

Mazelis, Falk - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

This paper studies the role of uncertainty in the corporate cash hoarding puzzle. The baseline model is a stochastic neoclassical growth model featuring idiosyncratic and uninsurable productivity shocks and a cash-in-advance constraint on new in- vestments on the individual firm level....

Persistent link: https://www.econbiz.de/10010940072

Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model

Skoczylas, Tomasz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

In this paper a new ARCH-type volatility model is proposed. The Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity (RHARCH) model draws inspiration from Heterogeneous Autoregressive Conditional Heteroskedasticity presented by Muller et al. (1995), but employs more efficient,...

Persistent link: https://www.econbiz.de/10010752704

Volatility modelling of CO2 emission allowance spot prices with regime-switching GARCH models

Benschopa, Thijs; López Cabreraa, Brenda - 2014

We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the characteristics of the price process, such as volatility persistence, breaks in...

Persistent link: https://www.econbiz.de/10010405117

Reflecting on the VPIN Dispute

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013

In Andersen and Bondarenko (2014), using tick data for S&P 500 futures, we establish that the VPIN metric of Easley, Lopez de Prado, and O'Hara (ELO), by construction, will be correlated with trading volume and return volatility (innovations). Whether VPIN is more strongly correlated with volume...

Persistent link: https://www.econbiz.de/10011099292

The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach

Parrák, Radovan - Institut ekonomických studií, Univerzita Karlova v Praze - 2013

In this paper we compared two distinct volatility forecasting approaches. GARCH models were contrasted to the models … (artificial) market were used for assessing the relative volatility forecasting accuracy. Our contribution lies in developing a …-group volatility forecasting accuracy of the competing model families. Finally, we measured the economic value of richer information …

Persistent link: https://www.econbiz.de/10010827802

Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models

OPREANA, Claudiu Ilie - In: Expert Journal of Finance 1 (2013) 1, pp. 4-18

Persistent link: https://www.econbiz.de/10010903776