Modelling and forecasting WIG20 daily returns

Detalhes bibliográficos
Autor(a) principal: Amado, Cristina
Data de Publicação: 2017
Outros Autores: Silvennoinen, Annastiina, Terasvirta, Timo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/49398
Resumo: 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 heteroskedasticity.
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spelling Modelling and forecasting WIG20 daily returnsAutoregressive conditional heteroskedasticityForecasting volatilityModelling volatilityMultiplicative time-varying GARCHSmooth transitionCiências Sociais::Economia e GestãoThe 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 heteroskedasticity.COMPETE 2020, Portugal 2020, FEDER, FCTinfo:eu-repo/semantics/publishedVersionUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoAmado, CristinaSilvennoinen, AnnastiinaTerasvirta, Timo2017-032017-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/49398engAmado, C., Silvennoinen, A., & Teräsvirta, T. (2017). Modelling and forecasting WIG20 daily returns (No. 09/2017). NIPE-Universidade do Minhohttp://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_09_2017.pdfinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T11:54:46Zoai:repositorium.sdum.uminho.pt:1822/49398Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:44:14.307570Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Modelling and forecasting WIG20 daily returns
title Modelling and forecasting WIG20 daily returns
spellingShingle Modelling and forecasting WIG20 daily returns
Amado, Cristina
Autoregressive conditional heteroskedasticity
Forecasting volatility
Modelling volatility
Multiplicative time-varying GARCH
Smooth transition
Ciências Sociais::Economia e Gestão
title_short Modelling and forecasting WIG20 daily returns
title_full Modelling and forecasting WIG20 daily returns
title_fullStr Modelling and forecasting WIG20 daily returns
title_full_unstemmed Modelling and forecasting WIG20 daily returns
title_sort Modelling and forecasting WIG20 daily returns
author Amado, Cristina
author_facet Amado, Cristina
Silvennoinen, Annastiina
Terasvirta, Timo
author_role author
author2 Silvennoinen, Annastiina
Terasvirta, Timo
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Amado, Cristina
Silvennoinen, Annastiina
Terasvirta, Timo
dc.subject.por.fl_str_mv Autoregressive conditional heteroskedasticity
Forecasting volatility
Modelling volatility
Multiplicative time-varying GARCH
Smooth transition
Ciências Sociais::Economia e Gestão
topic Autoregressive conditional heteroskedasticity
Forecasting volatility
Modelling volatility
Multiplicative time-varying GARCH
Smooth transition
Ciências Sociais::Economia e Gestão
description 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 heteroskedasticity.
publishDate 2017
dc.date.none.fl_str_mv 2017-03
2017-03-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/49398
url https://hdl.handle.net/1822/49398
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Amado, C., Silvennoinen, A., & Teräsvirta, T. (2017). Modelling and forecasting WIG20 daily returns (No. 09/2017). NIPE-Universidade do Minho
http://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_09_2017.pdf
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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