An implementation of the LHAR-CJ model with functional coefficients

Detalhes bibliográficos
Autor(a) principal: Paz, Leonardo Gabriel da
Data de Publicação: 2018
Tipo de documento: Trabalho de conclusão de curso
Idioma: eng
Título da fonte: Repositório Institucional da UFRGS
Texto Completo: http://hdl.handle.net/10183/250388
Resumo: This article aims to compare the forecast performance of the LHAR-CJ model, proposed in Corsi and Renò (2012) and a LHAR-CJ model with functional coefficients for a Vale return series. This new model, instead of estimating fixed coefficients for each variable in the autoregressive model, estimates a functional coefficient that is state dependent, where the state is represented by the lagged realized volatility. In other words, the coefficients are functions of the states of the response variable. We found out that, for this data, the functional coefficients model has a better forecast performance with the right smoothness parameter.
id UFRGS-2_46fb26f6a0c9a592489741efc29b19a5
oai_identifier_str oai:www.lume.ufrgs.br:10183/250388
network_acronym_str UFRGS-2
network_name_str Repositório Institucional da UFRGS
repository_id_str
spelling Paz, Leonardo Gabriel daHorta, Eduardo de Oliveira2022-10-27T04:49:41Z2018http://hdl.handle.net/10183/250388001065461This article aims to compare the forecast performance of the LHAR-CJ model, proposed in Corsi and Renò (2012) and a LHAR-CJ model with functional coefficients for a Vale return series. This new model, instead of estimating fixed coefficients for each variable in the autoregressive model, estimates a functional coefficient that is state dependent, where the state is represented by the lagged realized volatility. In other words, the coefficients are functions of the states of the response variable. We found out that, for this data, the functional coefficients model has a better forecast performance with the right smoothness parameter.application/pdfengEstatísticaRealized volatilityJumpsLeverage effectFunctional coefficientsContinuous volatilityVolatility forecastingAn implementation of the LHAR-CJ model with functional coefficientsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/bachelorThesisUniversidade Federal do Rio Grande do SulInstituto de Matemática e EstatísticaPorto Alegre, BR-RS2018Estatística: Bachareladograduaçãoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRGSinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSTEXT001065461.pdf.txt001065461.pdf.txtExtracted Texttext/plain10957http://www.lume.ufrgs.br/bitstream/10183/250388/2/001065461.pdf.txt09b623f48656fc6ed02d4f6e47ffaf66MD52ORIGINAL001065461.pdfTexto completo (inglês)application/pdf479324http://www.lume.ufrgs.br/bitstream/10183/250388/1/001065461.pdf5e4a6855dfc7c5874ea67f982251ee94MD5110183/2503882022-10-28 04:48:26.974706oai:www.lume.ufrgs.br:10183/250388Repositório de PublicaçõesPUBhttps://lume.ufrgs.br/oai/requestopendoar:2022-10-28T07:48:26Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.pt_BR.fl_str_mv An implementation of the LHAR-CJ model with functional coefficients
title An implementation of the LHAR-CJ model with functional coefficients
spellingShingle An implementation of the LHAR-CJ model with functional coefficients
Paz, Leonardo Gabriel da
Estatística
Realized volatility
Jumps
Leverage effect
Functional coefficients
Continuous volatility
Volatility forecasting
title_short An implementation of the LHAR-CJ model with functional coefficients
title_full An implementation of the LHAR-CJ model with functional coefficients
title_fullStr An implementation of the LHAR-CJ model with functional coefficients
title_full_unstemmed An implementation of the LHAR-CJ model with functional coefficients
title_sort An implementation of the LHAR-CJ model with functional coefficients
author Paz, Leonardo Gabriel da
author_facet Paz, Leonardo Gabriel da
author_role author
dc.contributor.author.fl_str_mv Paz, Leonardo Gabriel da
dc.contributor.advisor1.fl_str_mv Horta, Eduardo de Oliveira
contributor_str_mv Horta, Eduardo de Oliveira
dc.subject.por.fl_str_mv Estatística
topic Estatística
Realized volatility
Jumps
Leverage effect
Functional coefficients
Continuous volatility
Volatility forecasting
dc.subject.eng.fl_str_mv Realized volatility
Jumps
Leverage effect
Functional coefficients
Continuous volatility
Volatility forecasting
description This article aims to compare the forecast performance of the LHAR-CJ model, proposed in Corsi and Renò (2012) and a LHAR-CJ model with functional coefficients for a Vale return series. This new model, instead of estimating fixed coefficients for each variable in the autoregressive model, estimates a functional coefficient that is state dependent, where the state is represented by the lagged realized volatility. In other words, the coefficients are functions of the states of the response variable. We found out that, for this data, the functional coefficients model has a better forecast performance with the right smoothness parameter.
publishDate 2018
dc.date.issued.fl_str_mv 2018
dc.date.accessioned.fl_str_mv 2022-10-27T04:49:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/bachelorThesis
format bachelorThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10183/250388
dc.identifier.nrb.pt_BR.fl_str_mv 001065461
url http://hdl.handle.net/10183/250388
identifier_str_mv 001065461
dc.language.iso.fl_str_mv eng
language eng
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.source.none.fl_str_mv reponame:Repositório Institucional da UFRGS
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Repositório Institucional da UFRGS
collection Repositório Institucional da UFRGS
bitstream.url.fl_str_mv http://www.lume.ufrgs.br/bitstream/10183/250388/2/001065461.pdf.txt
http://www.lume.ufrgs.br/bitstream/10183/250388/1/001065461.pdf
bitstream.checksum.fl_str_mv 09b623f48656fc6ed02d4f6e47ffaf66
5e4a6855dfc7c5874ea67f982251ee94
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
repository.name.fl_str_mv Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv
_version_ 1815447321321668608

Registros relacionados