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Estimating and Forecasting Volatility Using Arima Model : A Study on NSE, India

Wadhawan, Dikshita - 2019

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …

Persistent link: https://www.econbiz.de/10012860158

Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting

Gerlach, Richard H. - 2020

This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our strategy relies on suitable generalizations of the Realized GARCH model by Hansen et al. (2012) where the impact of lagged realized measures on the current conditional variance is...

Persistent link: https://www.econbiz.de/10012839665

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012714199

Real-Time Forecasting of GDP Based on a Large Factor Model with Monthly and Quarterly Data

Schumacher, Christian - 2007

This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...

Persistent link: https://www.econbiz.de/10012730747

Seasonal adjustment of the Spanish sales daily data

Cuevas, Ángel; Ledo, Ramiro; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 12 (2021) 4, pp. 687-708

We present a procedure to perform seasonal adjustment over daily sales data. The model adjusts daily information from the Immediate Supply of Information System for Value Added Tax declaration forms compiled by the Spanish Tax Agency. The procedure performs signal extraction and forecasting at...

Persistent link: https://www.econbiz.de/10012694357

Dynamic factor models with clustered loadings : forecasting education flows using unemployment data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2020

period than our detailed education data panel, we propose a twostep estimation procedure. First, we consider a score …

Persistent link: https://www.econbiz.de/10012315409

Nowcasting Australia's gross domestic product

Grant, Angelia L. - 2018

This paper adopts the methodology developed by the Federal Reserve Bank of Atlanta to nowcast the expenditure components of Gross Domestic Product (GDP) for the Australian economy. The aim is to help assess the current state of the economy and to assist with macroeconomic forecasting. A range of...

Persistent link: https://www.econbiz.de/10012126572

Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …

Persistent link: https://www.econbiz.de/10012160811

A hierarchical procedure for the combination of forecasts

Costantini, Mauro; Pappalardo, Carmine - 2009

This paper proposes a strategy to increase the efficiency of forecast combination. Given the availability of a wide range of forecasts for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, a hierarchical procedure based on an...

Persistent link: https://www.econbiz.de/10009734678

Combining forecasts based on multiple encompassing tests in a macroeconomic core system

Costantini, Mauro; Kunst, Robert M. - 2009

We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non-zero weights to candidate models that add information not...

Persistent link: https://www.econbiz.de/10009734681