Similar Search Results

Second Order Time Dependent Inflation Persistence in the United States : a GARCH-in-Mean Model with Time Varying Coefficients

Canepa, Alessandra - 2020

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate … varying persistence, which not only distinguishes between changes in the dynamics of inflation and its volatility, but it also … allows for feedback from nominal uncertainty to inflation. Our empirical results suggest that inflation persistence in the …

Persistent link: https://www.econbiz.de/10012843786

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

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10011411344

A functional approach to test trending volatility

Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016

In this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices...

Persistent link: https://www.econbiz.de/10011456514

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

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

Forecasting value-at-risk with time-varying variance, skewnessn and kurtosis in an exponential weighted moving average framework

Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - 2012 - This version: June 6, 2012

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Persistent link: https://www.econbiz.de/10011731521

Multivariate GARCH Models

Silvennoinen, Annastiina - 2008

This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example...

Persistent link: https://www.econbiz.de/10012723997

Two Stylized Facts and the GARCH (1,1) Model

Teräsvirta, Timo - 1998

Many high frequency economic or financial time series display two empirical characteristics: high kurtosis and positive autocorrelation in the centred and squared observations. The first-order autocorrelation is typically low, and the autocorrelation function decays slowly. These series are...

Persistent link: https://www.econbiz.de/10014081943