Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86091664" target="_blank" >RIV/61989100:27510/14:86091664 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets
Original language description
Model selection and model comparison of the second moment of a given random variable has been widely discussed topic in financial econometrics for many years. In this paper, we focus on model comparison and model selection taking in consideration univariate conditional volatility models. The aim of this paper is to provide comparison of linear and nonlinear ARCH family models based on out-of-sample forecast using two different approaches. In first approach, alternative volatility models are compared bydifferent loss functions based directly on variance forecast and respective Diebold-Mariano type tests. The comparison of models based on Diebold-Mariano test is limited since it allows pairwise comparison only. Therefore, the model confidence set (MCS)technique will be utilized as well. The second approach is relatively new and includes indirect evaluation methods which consider using of alternative variance forecasts, in particular a VaR framework. In order to illustrate application o
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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)
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
873-878
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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