Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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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

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

873-878

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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