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GARCH PROOF OF CONCEPT _ UPDATED 18 DEC 2008
Datta, Shoumen - 2008
Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of … forecasting methods in context of supply chains and demonstrated financial profitability from use of the GARCH technique. It … advanced forecasting tools for decision support in supply chain scenarios and provide preliminary simulation results from their …
Persistent link: https://www.econbiz.de/10009433075
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It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
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It Pays to Violate: How Effective are the Basel Accord Penalties?
Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10008484079
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APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES
Guida, Tony; Matringe, Olivier - EconWPA - 2005
This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to … containing a genuine stock index also. The implied goal is to find out if the GARCH models are more fitted for stock indices than …
Persistent link: https://www.econbiz.de/10005134650
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The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Instituut - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011257033
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FORECASTING FOREX VOLATILITY IN TURBULENT TIMES
Mohnot, Rajesh - In: Global Journal of Business Research 5 (2011) 1, pp. 27-38
. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is … forecasting can be made at least for the next day given the high degree of volatility in the crisis period. The paper also reveals …
Persistent link: https://www.econbiz.de/10011205925
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Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes
Matei, Marius - Institutul de Prognoza Economica, Institutul National … - 2010
econometric problem of volatility forecasting for a portfolio of a number of selected returns. The discussion complicates given … difficult. As a solution to such problems, I have justified the superiority of one autoregressive heteroskedastic model (PC-GARCH …M) in order to evidentiate advantages of this model. They may be summarized as it follows: PC-GARCH • Minimizes …
Persistent link: https://www.econbiz.de/10008615494
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Forecasting carbon futures volatility using GARCH models with energy volatilities
Byun, Suk Joon; Cho, Hangjun - In: Energy Economics 40 (2013) C, pp. 207-221
This article examines the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon … document that GARCH-type models perform better than an implied volatility and the k-nearest neighbor model. This result …
Persistent link: https://www.econbiz.de/10010868786
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A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations
Trombe, Pierre-Julien; Pinson, Pierre; Madsen, Henrik - In: Energies 5 (2012) 3, pp. 621-657
-Switching Autoregressive (MSAR) models with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors in each regime to cope with … including a GARCH specification for density forecasts. …
Persistent link: https://www.econbiz.de/10010668063
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The impact of stock market volatility on corporate bond credit spreads
Bewley, Ronald; Rees, David; Berg, Paul - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 363-372
There has been a rapid increase in the number of corporate bonds issued in Australia since the middle of 1998. This increase has stimulated interest in characterising the yield curves and the factors that determine changes in these spreads. The focus of this paper is on measuring any impact of...
Persistent link: https://www.econbiz.de/10010749499