Temat: time-varying volatility

Skocz do pozycji: 1.

Tytuł:: Bayesian ex post evaluation of recursive multi-step-ahead density prediction
Autorzy:: Kwiatkowski, Łukasz
Osiewalski, Jacek
Wróblewska, Justyna
Pajor, Anna
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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Skocz do pozycji: 2.

Tytuł:: On Sensitivity of Inference in Bayesian MSF-MGARCH Models
Autorzy:: Osiewalski, Jacek
Pajor, Anna
Tematy:: Bayesian econometrics
Gibbs sampling
time-varying volatility
multivariate GARCH processes
multivariate SV processes; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/2076087.pdf Link otwiera się w nowym oknie
Opis:: Hybrid MSV-MGARCH models, in particular the MSF-SBEKK specification, proved useful in multivariate modelling of returns on financial and commodity markets. The initial MSF-MGARCH structure, called LNMSF-MGARCH here, is obtained by multiplying the MGARCH conditional covariance matrix Ht by a scalar random variable gt such that {ln gt, t ∈ Z} is a Gaussian AR(1) latent process with auto-regression parameter ϕ. Here we also consider an IG-MSF-MGARCH specification, which is a hybrid generalisation of conditionally Student t MGARCH models, since the latent process {gt} is no longer marginally log-normal (LN), but for ϕ = 0 it leads to an inverted gamma (IG) distribution for gt and to the t-MGARCH case. If ϕ 6= 0, the latent variables gt are dependent, so (in comparison to the t-MGARCH specification) we get an additional source of dependence and one more parameter. Due to the existence of latent processes, the Bayesian approach, equipped with MCMC simulation techniques, is a natural and feasible statistical tool to deal with MSF-MGARCH models. In this paper we show how the distributional assumptions for the latent process together with the specification of the prior density for its parameters affect posterior results, in particular the ones related to adequacy of the t-MGARCH model. Our empirical findings demonstrate sensitivity of inference on the latent process and its parameters, but, fortunately, neither on volatility of the returns nor on their conditional correlation. The new IG-MSF-MGARCH specification is based on a more volatile latent process than the older LN-MSF-MGARCH structure, so the new one may lead to lower values of ϕ – even so low that they can justify the popular t-MGARCH model.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility
Autorzy:: Osiewalski, Jacek
Pajor, Anna
Tematy:: Bayesian econometrics
Gibbs sampling
time-varying volatility
multivariate GARCH processes
multivariate SV processes; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/483307.pdf Link otwiera się w nowym oknie
Opis:: The aim of this paper is to examine the empirical usefulness of two new MSF - Scalar BEKK(1,1) models of n-variate volatility. These models formally belong to the MSV class, but in fact are some hybrids of the simplest MGARCH and MSV specifications. Such hybrid structures have been proposed as feasible (yet non-trivial) tools for analyzing highly dimensional financial data (large n). This research shows Bayesian model comparison for two data sets with n = 2, since in bivariate cases we can obtain Bayes factors against many (even unparsimonious) MGARCH and MSV specifications. Also, for bivariate data, approximate posterior results (based on preliminary estimates of nuisance matrix parameters) are compared to the exact ones in both MSF-SBEKK models. Finally, approximate results are obtained for a large set of returns on equities (n = 34).
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: On sensitivity of Inference in Bayesian MSF-MGARCH models
Autorzy:: Osiewalski, Janusz
Pajor, Anna
Opis:: Hybrid MSV-MGARCH models, in particular the MSF-SBEKKspecification, proved useful in multivariate modelling of returns on financialand commodity markets. The initial MSF-MGARCH structure, called LN-MSF-MGARCH here, is obtained by multiplying the MGARCH conditionalcovariance matrixHtby a scalar random variablegtsuch that{lngt, t∈Z} is aGaussian AR(1) latent process with auto-regression parameterφ. Here we alsoconsider an IG-MSF-MGARCH specification, which is a hybrid generalisationof conditionally StudenttMGARCH models, since the latent process{gt}is nolonger marginally log-normal (LN), but forφ= 0it leads to an inverted gamma(IG) distribution forgtand to thet-MGARCH case. If φ6= 0, the latentvariablesgtare dependent, so (in comparison to thet-MGARCH specification)we get an additional source of dependence and one more parameter. Dueto the existence of latent processes, the Bayesian approach, equipped withMCMC simulation techniques, is a natural and feasible statistical tool to dealwith MSF-MGARCH models. In this paper we show how the distributionalassumptions for the latent process together with the specification of theprior density for its parameters affect posterior results, in particular theones related to adequacy of thet-MGARCH model. Our empirical findingsdemonstrate sensitivity of inference on the latent process and its parameters,but, fortunately, neither on volatility of the returns nor on their conditionalcorrelation. The new IG-MSF-MGARCH specification is based on a morevolatile latent process than the older LN-MSF-MGARCH structure, so thenew one may lead to lower values of φ– even so low that they can justify thepopulart-MGARCH model.
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

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Skocz do pozycji: 5.

Tytuł:: Modelling and Forecasting WIG20 Daily Returns
Autorzy:: Amado, Cristina
Silvennoinen, Annastiina
Teräsvirta, Timo
Tematy:: autoregressive conditional heteroskedasticity
forecasting volatility
modelling volatility
multiplicative time-varying GARCH
smooth transition; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/2076424.pdf Link otwiera się w nowym oknie
Opis:: The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticit
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Badanie wpływu indeksów zmienności na zmiany współzależności pomiędzy wybranymi rynkami finansowymi
An influence analysis of volatility indices on interdependence changes between selected financial markets
Autorzy:: Czapkiewicz, Anna
Jamer, Paweł
Tematy:: hidden Markov model
time-varying transition probability
stock exchange
volatility indices
interdependence analysis; Pokaż więcej
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Powiązania:: https://bibliotekanauki.pl/articles/425098.pdf Link otwiera się w nowym oknie
Opis:: The study of interdependence and the strength of the relationship between finan-cial time series is a quite important area in the financial literature. Hence we discussed the relationships between the main stock indices. The multivariate distributions of returns we modelled basing on copula functions approach. In order to obtain some dynamics of multi-variate distributions we applied the hidden Markov chain. Additionally we assumed that the transition matrix of the Markov chain was dependent on some exogenous variables. The study shows that the volatility indices VIX and VSTOXX which were taken as exogenous variables improved model efficiency.
Dostawca treści:: Biblioteka Nauki

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