On Conditional Volatility Model Comparison

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

On Conditional Volatility Model Comparison

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

On Conditional Volatility Model Comparison

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

The 7th International Days of Statistics and Economics : conference proceedings : September 19-21, 2013, Prague, Czech Republic

ISBN

978-80-86175-87-4

ISSN

—

e-ISSN

—

Počet stran výsledku

10

Strana od-do

1240-1249

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Praha

Datum konání akce

19. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000339103100124