Gamma stochastic volatility models

This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the estimators behave well. The insample analysis shows that return models with gamma autoregressive stochastic volatility processes capture the leptokurtic nature of return distributions and the slowly decaying autocorrelation functions of squared stock index returns for the USA and UK. In comparison with GARCH and EGARCH models, the gamma autoregressive model picks up the persistence in volatility for the US and UK index returns but not the volatility persistence for the Canadian and Japanese index returns. The out-of-sample analysis indicates that the gamma autoregressive model has a superior volatility forecasting performance compared to GARCH and EGARCH models.

Water quality status and Primary productivity of Valanthakad Backwater in Kerala

The water quality and primary productivity of Valanthakad backwater (9° 55 10. 24 N latitude and 76° 20 01. 23 E longitude) was monitored from June to November 2007. Significant spatial and temporal variations in temperature, transparency, salinity, pH, dissolved oxygen, sulphides, carbon dioxide, alkalinity, biochemical oxygen demand, phosphatephosphorus, nitrate-nitrogen, nitrite-nitrogen as well as primary productivity could be observed from the study. Transparency was low (53.75 cm to 159 cm) during the active monsoon months when the intensity of solar radiation was minimum, which together with the run off from the land resulted in turbid waters in the study sites. The salinity in both the stations was low (0.10 ‰ to 4.69 ‰) except in August and November 2007. The presence of total sulphide (0.08 mg/ l to 1.84 mg/ l) and higher carbon dioxide (3 mg/ l to 17 mg/ l) could be due to hospital discharges and decaying slaughter house wastes in Station 1 and also from the mangrove vegetation in Station 2. Nitrate-nitrogen and phosphate-phosphorus depicted higher values and pronounced variations in the monsoon season. Maximum net primary production was seen in November (0.87 gC/ m3/ day) and was reported nil in September. The chlorophyll pigments showed higher values in July, August and November with a negative correlation with phosphate-phosphorus and nitrite-nitrogen. The study indicated that the water quality and productivity of Valanthakad backwater is impacted and is the first report from the region