On-line Calibration of the EWMA Models: Simulations and Applications
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10312724" target="_blank" >RIV/00216208:11320/15:10312724 - isvavai.cz</a>
Result on the web
<a href="http://msed.vse.cz/online" target="_blank" >http://msed.vse.cz/online</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On-line Calibration of the EWMA Models: Simulations and Applications
Original language description
The exponentially weighted moving average (EWMA) model is a particular modelling scheme used by RiskMetrics for predicting the current level of volatility of financial time series. It is designed to track changes in volatility by assigning exponentiallydecreasing weights to the observed historical squared financial returns. The applied weighting factors are conventionally prescribed by experts (users), or they are estimated employing standard statistical inference procedures, e.g. the maximum likelihood method. However, it is also possible to consider recursive (sequential or on-line) estimation techniques, which represent numerically effective alternatives to the already established approaches. The aim of this paper is to introduce and study a one-stage self-weighted on-line estimation algorithm appropriate for calibrating the EWMA model. Firstly, its derivation and theoretical properties are briefly outlined and summarized. Secondly, its practical performance is investigated by vari
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
The 9th International Days of Statistics and Economics: Conference Proceedings
ISBN
978-80-87990-06-3
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
520-529
Publisher name
MELANDRIUM
Place of publication
Slaný (CZ)
Event location
Praha (CZ)
Event date
Sep 10, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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