Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Modelling and Analysis of Some Time Series

The thesis deals with some of the non-linear Gaussian and non-Gaussian time models and mainly concentrated in studying the properties and application of a first order autoregressive process with Cauchy marginal distribution. In this thesis some of the non-linear Gaussian and non-Gaussian time series models and mainly concentrated in studying the properties and application of a order autoregressive process with Cauchy marginal distribution. Time series relating to prices, consumptions, money in circulation, bank deposits and bank clearing, sales and profit in a departmental store, national income and foreign exchange reserves, prices and dividend of shares in a stock exchange etc. are examples of economic and business time series. The thesis discuses the application of a threshold autoregressive(TAR) model, try to fit this model to a time series data. Another important non-linear model is the ARCH model, and the third model is the TARCH model. The main objective here is to identify an appropriate model to a given set of data. The data considered are the daily coconut oil prices for a period of three years. Since it is a price data the consecutive prices may not be independent and hence a time series based model is more appropriate. In this study the properties like ergodicity, mixing property and time reversibility and also various estimation procedures used to estimate the unknown parameters of the process.

Anti–white spot syndrome virus activity of Ceriops tagal aqueous extract in giant tiger shrimp Penaeus monodon

White spot syndrome virus (WSSV), the most contagious pathogen of cultured shrimp, causes mass mortality, leading to huge economic loss to the shrimp industry. The lack of effective therapeutic or prophylactic measures has aggravated the situation, necessitating the development of antiviral agents. With this objective, the antiviral activity in the aqueous extract of a mangrove plant Ceriops tagal in Penaeus monodon was evaluated. The Ceriops tagal aqueous extract (CTAE) was non-toxic to shrimps at 50 mg/ml when injected intramuscularly at a dosage of 10 lL/animal (0.5 mg/animal) and showed a protective effect against WSSV at 30 mg/ml when mixed with WSSV suspension at a 1:1 ratio. When the extract was administered along with the diet and the animals were challenged orally, there was a dose-dependent increase in survival, culminating in 100 % survival at a concentration of 500 mg/kg body weight/day. Neither hypertrophied nuclei nor the viral envelope protein VP28 could be demonstrated in surviving shrimps using histology and indirect immunofluorescence histochemistry (IIFH), respectively. To elucidate the mode of action, the temporal expression of WSSV genes and shrimp immune genes, including antimicrobial peptides, was attempted. None of the viral genes were found to be expressed in shrimps that were fed with the extract and challenged or in those that were administered CTAE-exposed WSSV. The overall results suggest that the aqueous extract from C. tagal can protect P. monodon from white spot syndrome virus infection.

Pathological changes in Fenneropenaeus indicus experimentally infected with white spot virus and virus morphogenesis

To demonstrate pathological changes due to white spot virus infection in Fenneropenaeus indicus, a batch of hatchery bred quarantined animals was experimentally infected with the virus. Organs such as gills, foregut, mid-gut, hindgut, nerve, eye, heart, ovary and integument were examined by light and electron microscopy. Histopathological analyses revealed changes hitherto not reported in F. indicus such as lesions to the internal folding of gut resulted in syncytial mass sloughed off into lumen, thickening of hepatopancreatic connective tissue with vacuolization of tubules and necrosis of rectal pads in hindgut. Virus replication was seen in the crystalline tract region of the compound eye and eosinophilic granules infiltrated from its base. In the gill arch, dilation and disintegration of median blood vessel was observed. In the nervous tissues, encapsulation and subsequent atrophy of hypertrophied nuclei of the neurosecretory cells were found. Transmission electron microscopy showed viral replication and morphogenesis in cells of infected tissue. De novo formed vesicles covered the capsid forming a bilayered envelop opened at one end inside the virogenic stroma. Circular vesicles containing nuclear material was found fused with the envelop. Subsequent thickening of the envelop resulted in the fully formed virus. In this study, a correlation was observed between the stages of viral multiplication and the corresponding pathological changes in the cells during the WSV infection. Accordingly, gill and foregut tissues were found highly infected during the onset of clinical signs itself, and are proposed to be used as the tissues for routine disease diagnosis.