On comparing prediction accuracy of various EWMA model estimators

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10365151" target="_blank" >RIV/00216208:11320/17:10365151 - isvavai.cz</a>
Result on the web
<a href="http://fim2.uhk.cz/mme/conferenceproceedings/mme2017_conference_proceedings.pdf" target="_blank" >http://fim2.uhk.cz/mme/conferenceproceedings/mme2017_conference_proceedings.pdf</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
On comparing prediction accuracy of various EWMA model estimators
Original language description
The exponentially weighted moving average (EWMA) model is a particular modelling scheme advocated by RiskMetrics that is capable of predicting the current level of financial time series volatility. It is designed to track changes in conditional variance of financial returns by assigning exponentially decreasing weights to the observed past squared measurements. Recently, a recursive estimation technique suitable for this class of stochastic processes has been introduced and discussed. It represents a computationally attractive alternative to the already established non-recursive estimation strategies since it is effective in terms of memory storage, computational complexity and its ability to estimate and control the EWMA modelling scheme in real time. The aim of the paper is to investigate prediction accuracy of different EWMA model estimators. By analysing a set of eighteen very diverse world stock indices, this study has shown that the recursive estimation scheme can be recommended due to its advantageous properties if predicting the volatility; it is competitive to other approaches commonly used in financial practice.
Czech name
—
Czech description
—

Project
<a href="/en/project/GA17-00676S" target="_blank" >GA17-00676S: Dynamic models of risk in finance and insurance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 35th International Conference on Mathematical Methods in Economics
ISBN
978-80-7435-678-0
ISSN
—
e-ISSN
neuvedeno
Number of pages
6
Pages from-to
219-224
Publisher name
University of Hradec Králové
Place of publication
Hradec Králové
Event location
Hradec Králové (CZ)
Event date
Sep 13, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000427151400038

Similar results(10)