About: Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Model selection and model comparison of the second moment of a given random variable has been widely discussed topic in financial econometrics for many years. In this paper, we focus on model comparison and model selection taking in consideration univariate conditional volatility models. The aim of this paper is to provide comparison of linear and nonlinear ARCH family models based on out-of-sample forecast using two different approaches. In first approach, alternative volatility models are compared by different loss functions based directly on variance forecast and respective Diebold-Mariano type tests. The comparison of models based on Diebold-Mariano test is limited since it allows pairwise comparison only. Therefore, the model confidence set (MCS) technique will be utilized as well. The second approach is relatively new and includes indirect evaluation methods which consider using of alternative variance forecasts, in particular a VaR framework. In order to illustrate application of both mentioned approaches, we consider daily data of WIG20 and PX indexes in the period of 2004-2012 years which also includes a period of recent global financial crisis of 2008-2009 years. Model selection and model comparison of the second moment of a given random variable has been widely discussed topic in financial econometrics for many years. In this paper, we focus on model comparison and model selection taking in consideration univariate conditional volatility models. The aim of this paper is to provide comparison of linear and nonlinear ARCH family models based on out-of-sample forecast using two different approaches. In first approach, alternative volatility models are compared by different loss functions based directly on variance forecast and respective Diebold-Mariano type tests. The comparison of models based on Diebold-Mariano test is limited since it allows pairwise comparison only. Therefore, the model confidence set (MCS) technique will be utilized as well. The second approach is relatively new and includes indirect evaluation methods which consider using of alternative variance forecasts, in particular a VaR framework. In order to illustrate application of both mentioned approaches, we consider daily data of WIG20 and PX indexes in the period of 2004-2012 years which also includes a period of recent global financial crisis of 2008-2009 years. (en)
Title	Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets (en)
skos:prefLabel	Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets Conditional Volatility Model Selection and Comparison: Ex-ample from Stock Markets (en)
skos:notation	RIV/61989100:27510/14:86091664!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(EE2.3.20.0296), P(GA13-13142S)
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Seďa, Petr
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	8581
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86091664
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	GARCH, MCS approach, out-of-sample forecast, TGARCH, VaR (en)
http://linked.open.../riv/klicoveSlovo	GARCH TGARCH VaR MCS approach out-of-sample forecast
http://linked.open...ontrolniKodProRIV	[D9473006D1FC]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Seďa, Petr
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9
http://localhost/t...ganizacniJednotka	27510

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