Forecasting volatility by means of threshold models

Article Abstract:

Threshold models are compared to predict volatility and determine the best model for forecasting. Generalized Autoregressive Conditional Heteroskedastic model (GARCH) and Stochastic Volatility model (SV) are employed to study the behavior on returns and leverage effects on the mean. Based on the study, the SETAR-THSVt is the best method for IBEX35 returns since this type of series produces more accurate predictions. Application of the Monte Carlo study to estimate the quality of the different procedures is discussed.

Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis, Learning models (Stochastic processes), Leverage (Finance), Stochastic models, Financial leverage, Report, Volatility (Finance)

---

Creating high-frequency national accounts with state-space modelling: a Monte Carlo experiment

Article Abstract:

A simple space-state model is presented as a technique for deriving high frequency data from lower frequency measurement, and it is verified using Monte Carlo experiments.

Gross Domestic Product, Statistical Data Included, Methods, Mathematical models

---

Traditional versus unobserved components methods to forecast quarterly national account aggregates

Article Abstract:

A comparative analysis between traditional and modern methodologies for national quarterly accounts forecasting is presented by using Monte Carlo experiment.

National Income

Similar abstracts:

• Abstracts: Forecasting growth with time series models. Time series analysis supported by power transformations
• Abstracts: Evaluating the rationality of fixed-event forecasts. Cross-correlations and predictability of stock returns. Evaluating the predictive accuracy of volatility models
• Abstracts: A forecasting comparison of classical and Bayesian methods for modelling logistic diffusion. A cautionary note on outlier robust estimation of threshold modelsn
• Abstracts: Evaluating volatility and interval forecasts. Judgement in learning-curve forecasting: a laboratory study. A Fractionally Integrated Exponential Model for UK unemployment
• Abstracts: Market selection and survival of investment strategies. Limits to arbitrage when market participation is restricted

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.