Reality check for volatility models
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12611 |
Resumo: | Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark. |
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Suganuma, RicardoEscolas::EPGEFGV2014-11-26T11:43:52Z2014-11-26T11:43:52Z2001-09-27http://hdl.handle.net/10438/12611Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessVolatility modelsUtility-based performance measuresRisk managementBootstrap reality checkEconomiaModelos econométricosRisco (Economia)Reality check for volatility modelsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1054.pdf1054.pdfapplication/pdf355876https://repositorio.fgv.br/bitstreams/7b8867b4-702f-483c-9000-dd191adf7953/download26ac40e8999564dbfaaa8ed08f37d4d7MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Reality check for volatility models |
title |
Reality check for volatility models |
spellingShingle |
Reality check for volatility models Suganuma, Ricardo Volatility models Utility-based performance measures Risk management Bootstrap reality check Economia Modelos econométricos Risco (Economia) |
title_short |
Reality check for volatility models |
title_full |
Reality check for volatility models |
title_fullStr |
Reality check for volatility models |
title_full_unstemmed |
Reality check for volatility models |
title_sort |
Reality check for volatility models |
author |
Suganuma, Ricardo |
author_facet |
Suganuma, Ricardo |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Suganuma, Ricardo |
dc.subject.eng.fl_str_mv |
Volatility models Utility-based performance measures Risk management |
topic |
Volatility models Utility-based performance measures Risk management Bootstrap reality check Economia Modelos econométricos Risco (Economia) |
dc.subject.por.fl_str_mv |
Bootstrap reality check |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelos econométricos Risco (Economia) |
description |
Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark. |
publishDate |
2001 |
dc.date.issued.fl_str_mv |
2001-09-27 |
dc.date.accessioned.fl_str_mv |
2014-11-26T11:43:52Z |
dc.date.available.fl_str_mv |
2014-11-26T11:43:52Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12611 |
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http://hdl.handle.net/10438/12611 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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