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).

Implications of the Intervention Program for Physical Activity (IPPA) in the perception of illness and wellbeing in people with Multiple Sclerosis (MS)

The aim of this study is to examine the implications of the IPPA in the perception of illness and wellbeing in MS patients. Methods - This is a quasi experimental study non-randomized study with 24 MS patients diagnosed at least 1 year before, and with an EDSS score of under 7. We used the IPPA in 3 groups of eight people in 3 Portuguese hospitals (Lisbon, Coimbra, and Porto). The sessions were held once a week for 90 minutes, over a period of 7 weeks. The instruments used were: We asked the subjects the question “Please classify the severity of your disease?” and used the Personal Wellbeing Scale (PWS) at the beginning (time A) and end (time B) of the IPPA. We used the SPSS version 20. A non-parametric statistical hypothesis test (Wilcoxon test) was used for the variable analysis. The intervention followed the recommendations of the Helsinki Declaration. Results – The results suggest that there are differences between time A and B, the perception of illness decreased (p<0.08), while wellbeing increased (p<0.01). Conclusions: The IPPA can play an important role in modifying the perception of disease severity and personal wellbeing.

A improvisação ao órgão no desenvolvimento da leitura à primeira vista

Resumo I (Prática Pedagógica) - A Secção I - Prática Pedagógica - refere-se ao Estágio que a mestranda realizou no Conservatório de Música de Ourém e Fátima durante o ano lectivo 2013-2014. No âmbito das suas funções de docente, a mestranda realizou o estágio com um aluno do I Grau – 5º ano do Regime Articulado, e com um aluno do III Grau - 7º ano do Regime Articulado e assistiu, ainda, às aulas de um aluno do V Grau - 9º ano do Regime Articulado, sob a orientação da professora cooperante, docente de órgão dessa mesma escola. Nesta secção é feita uma breve caracterização da escola onde se realizou o estágio bem como dos alunos envolvidos no estágio. Por último, são mencionadas as práticas educativas desenvolvidas, os objectivos gerais para o ano lectivo, os métodos utilizados, os objectivos pedagógicos implícitos para cada período e, a finalizar, é apresentada uma análise crítica da actividade docente.