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Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error … forecasting model that could guarantee a sound policy decisions. …

Persistent link: https://www.econbiz.de/10011489480

A State Space Approach to Estimate Systemic Risk

Verma, Naval Bharti - 2014

evaluate the forecasting performance of the estimated measure …

Persistent link: https://www.econbiz.de/10013066780

Sparse and robust factor modelling

Croux, Christophe; Exterkate, Peter - 2011

Persistent link: https://www.econbiz.de/10009720758

Predicting the global minimum variance portfolio

Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

Persistent link: https://www.econbiz.de/10012243462

Machine-learning-based semiparametric time series conditional variance : estimation and forecasting

Dang, Justin; Ullah, Aman - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12

This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...

Persistent link: https://www.econbiz.de/10012814196

Splines for Financial Volatility

Audrino, Francesco; Buhlmann, Peter - 2007

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies …

Persistent link: https://www.econbiz.de/10014051065

Autoregressive Spectral Averaging Estimator

Liu, Chu-An - 2017

This paper considers model averaging in spectral density estimation. We construct the spectral density function by averaging the autoregressive coefficients from all potential autoregressive models and investigate the autoregressive spectral averaging estimator using weights that minimize the...

Persistent link: https://www.econbiz.de/10012947449

On Heteroskedasticity and Regimes in Volatility Forecasting

Cipollini, Fabrizio - 2017

In this paper we discuss some deep implications of the recent paper by Bollerslev et al. (2016) (BPQ). In BPQ the volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in realized variance. We show that the model is...

Persistent link: https://www.econbiz.de/10012947755

The Properties of Realized Correlation : Evidence from the French, German and Greek Equity Markets

Vortelinos, Dimitrios I. - 2015

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the French, German and Greek equity markets. Using intraday data I first construct four state-of-the-art realized correlation estimators which I then use to testing...

Persistent link: https://www.econbiz.de/10013029288

Beta-Adjusted Covariance Estimation

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

Persistent link: https://www.econbiz.de/10013235022