On Conditional Volatility Model Comparison

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086782" target="_blank" >RIV/61989100:27510/13:86086782 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
On Conditional Volatility Model Comparison
Original language description
Volatility can be defined and measured as a risk of financial instrument over a specified time period. In this paper, we deal with volatility model selection and comparison in a specific framework. In particular, univariate volatility models like traditional ARCH model and its extensions will be object of our interest. Selection of the best suitable model may be usually based on in-sample or out-of-sample criteria. In empirical studies, we usually favour model that can capture real features of the dataanalysed and, in addition, can provide the most accurate out-of-sample forecast quality. In this paper, we focus just on out-of-sample comparison of linear and nonlinear ARCH family models which may follow two different approaches. In first approach, alternative models are contrasted by different loss functions based directly on variance forecast and Diebold-Mariano type tests. The second approach includes indirect evaluation methods which conside r using of alternative variance forecast
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 7th International Days of Statistics and Economics : conference proceedings : September 19-21, 2013, Prague, Czech Republic
ISBN
978-80-86175-87-4
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
1240-1249
Publisher name
Melandrium
Place of publication
Slaný
Event location
Praha
Event date
Sep 19, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000339103100124

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