On-line Calibration of the EWMA Models: Simulations and Applications

Kód výsledku v 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>

Výsledek na webu

<a href="http://msed.vse.cz/online" target="_blank" >http://msed.vse.cz/online</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

On-line Calibration of the EWMA Models: Simulations and Applications

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

On-line Calibration of the EWMA Models: Simulations and Applications

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

10

Strana od-do

520-529

Název nakladatele

MELANDRIUM

Místo vydání

Slaný (CZ)

Místo konání akce

Praha (CZ)

Datum konání akce

10. 9. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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