Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

Contratos de futuros sobre taxas de juro : estudo de caso sobre a Euribor a 3 meses

Mestrado em Contabilidade e Análise Financeira

A metáfora e o símile na linguagem profética neo-assírica

O corpus oracular de profecias neo-assírias remonta aos reinados de Assaradão (680-669 a.C.) e de Assurbanípal (668-627 a.C). Estas profecias foram registadas em pequenos relatórios que contemplam, em geral, um oráculo ou, excepcionalmente, mais do que um, mas relativos ao mesmo profeta. Foram também sistematizadas em colecções em que o editor compila vários oráculos, eventualmente transmitidos por profetas diferentes. Estas envolvem um labor literário que reflecte a busca de um sentido comum e a construção de temáticas afins. Por exemplo, a primeira colecção, que consiste em dez textos oraculares, encontra-se estruturada em tomo de mensagens divinas de encorajamento a Assaradão durante o processo político e militar de ascensão ao trono. Já a segunda colecção pressupõe as dificuldades iniciais que se verificam na consolidação do poder, a subsequente procura da estabilidade política e os problemas que se registam então com a Babilônia. Por fim, a terceira colecção reflecte, essencialmente, o tema da aliança entre Assur e o seu protegido, que é uma temática central na ideologia real assíria.

Intraday volatility

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Avatars and the «Imitation Game» – can machines smile?

Considering Alan Turing’s challenge in «Computing Machinery and Intelligence» (1950) – can machines play the «imitation game»? – it is proposed that the requirements of the Turing test are already implicitly being used for checking the credibility of virtual characters and avatars. Like characters, Avatars aim to visually express emotions (the exterior signs of the existence of feeling) and its creators have to resort to emotion codes. Traditional arts have profusely contributed for this field and, together with the science of anatomy, shaped the grounds for current Facial Action Coding System (FACS) and their databases. However, FACS researchers have to improve their «instruction tables» so that the machines will be able, in a near future, to be programmed to carry out the operation of recognizing human expressions (face and body) and classify them adequately. For the moment, the reproductions have to resort to the copy of real life expressions, and the presente smile of avatars comes from mirroring their human users.

Smile-kids: uma experiência de educação e formação de educadores de infância em creches

O presente estudo pretende descrever o programa de intervenção, baseado no desenvolvimento de conhe‑ cimentos e competências em educadores de infância relacionados com a alimentação, crescimento, desen‑ volvimento e adesão a novos alimentos na primeira infância. Os educadores de infância das creches (18 no total) participaram no programa de intervenção, que ocorreu entre dezembro de 2013 e fevereiro de 2014, acreditada pelo Ministério da Educação, Conselho Científico-Pedagógico da Formação Contínua. Globalmente, a oficina de formação constituiu-se como um espaço de reflexão, análise e exploração de temáticas relacionadas com os estilos de vida na primeira infância, num total de 25 horas de formação presencias e 25 horas de experimentação no contexto de trabalho das formandas. Procurámos centrar os momentos formativos numa pedagogia baseada na partilha, expo‑ sição de perspetivas singulares entre pares, colaboração e iniciativa conjunta. Explorámos as expetativas das formandas relativamente à oficina de formação e as suas representações sobre a alimentação em crianças. A experiência terminou, mas com um sentido expectável de continuidade, pois deixou marcas em todos os que participaram. As implicações para a prática foram testemunhadas por todas as formandas.

Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

Forecasting volatility using a continuous time model

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change pattern. We use ex-post volatility as a proxy of the realized volatility obtained from intraday data and the forecasts from the SV2F are calculated using the reprojection technique proposed by Gallant and Tauchen (1998).

Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Stock market volatility and learning

Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though our learning scheme introduces just one free parameter and we only consider learning schemes that imply small deviations from full rationality. The findings are robust to the learning rule used and other model features. What is key is that agents forecast future stock prices using past information on prices.

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.

IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility

National inflation rates reflect domestic and international (regional and global) influences. The relative importance of these components remains a controversial empirical issue. We extend the literature on inflation co-movement by utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously determined regional groupings. We find that most of inflation variability is explained by the country specific disturbance term. Nevertheless, the contribution of the global component in explaining industrialised countries’ inflation rates has increased over time.

Inflation Uncertainty, Exchange Rate Depreciation and Volatility: Evidence from Ghana, Mozambique and Tanzania

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate may be expected to become more volatile when the underlying currency loses value. We conjecture that a reverse causation, which further weakens the currency, may be mitigated by price stability. Data from Ghana, Mozambique and Tanzania support this: depreciation makes exchange rate more volatile for all but volatility does not causes depreciation in Tanzania which has enjoyed a more stable inflation despite all countries adopting similar macro-policies since early 1990s.