Forecasting Volatility with Time-Varying Coefficient Regressions

المؤلفون المشاركون

Zhu, Qifeng
You, Miman
Wu, Shan

المصدر

Discrete Dynamics in Nature and Society

العدد

المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-13، 13ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2020-05-01

دولة النشر

مصر

عدد الصفحات

13

التخصصات الرئيسية

الرياضيات

الملخص EN

We extend the heterogeneous autoregressive- (HAR-) type models by explicitly considering the time variation of coefficients in a Bayesian framework and comprehensively comparing the performances of these time-varying coefficient models and constant coefficient models in forecasting the volatility of the Shanghai Stock Exchange Composite Index (SSEC).

The empirical results suggest that time-varying coefficient models do generate more accurate out-of-sample forecasts than the corresponding constant coefficient models.

By capturing and studying the time series of time-varying coefficients of the predictors, we find that the coefficients (predictive ability) of heterogeneous volatilities are negatively correlated and the leverage effect is not significant or inverse during certain periods.

Portfolio exercises also demonstrate the superiority of time-varying coefficient models.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Zhu, Qifeng& You, Miman& Wu, Shan. 2020. Forecasting Volatility with Time-Varying Coefficient Regressions. Discrete Dynamics in Nature and Society،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1152960

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Zhu, Qifeng…[et al.]. Forecasting Volatility with Time-Varying Coefficient Regressions. Discrete Dynamics in Nature and Society No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1152960

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Zhu, Qifeng& You, Miman& Wu, Shan. Forecasting Volatility with Time-Varying Coefficient Regressions. Discrete Dynamics in Nature and Society. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1152960

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-1152960