Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Experimental Study And Evaluation Of Paper-Based Inkjet Electrodes For ECG Signal Acquisition

Applications involving biosignals, such as Electrocardiography (ECG), are becoming more pervasive with the extension towards non-intrusive scenarios helping targeting ambulatory healthcare monitoring, emotion assessment, among many others. In this study we introduce a new type of silver/silver chloride (Ag/AgCl) electrodes based on a paper substrate and produced using an inkjet printing technique. This type of electrodes can increase the potential applications of biosignal acquisition technologies for everyday life use, given that there are several advantages, such as cost reduction and easier recycling, resultant from the approach explored in our work. We performed a comparison study to assess the quality of this new electrode type, in which ECG data was collected with three types of Ag/AgCl electrodes: i) gelled; ii) dry iii) paper-based inkjet printed. We also compared the performance of each electrode when acquired using a professional-grade gold standard device, and a low cost platform. Experimental results showed that data acquired using our proposed inkjet printed electrode is highly correlated with data obtained through conventional electrodes. Moreover, the electrodes are robust to high-end and low-end data acquisition devices. Copyright © 2014 SCITEPRESS - Science and Technology Publications. All rights reserved.