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.

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Análise de clusters e volatilidade de índices de acções

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Cluster de volatilidade no mercado de taxas de câmbio USD/GBP

Mestrado em Controlo de Gestão e dos Negócios

Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade

Mestrado em Contabilidade e Análise Financeira

Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

Computational tools for comparing asymmetric GARCH models via Bayes factors

In this paper we use Markov chain Monte Carlo (MCMC) methods in order to estimate and compare GARCH models from a Bayesian perspective. We allow for possibly heavy tailed and asymmetric distributions in the error term. We use a general method proposed in the literature to introduce skewness into a continuous unimodal and symmetric distribution. For each model we compute an approximation to the marginal likelihood, based on the MCMC output. From these approximations we compute Bayes factors and posterior model probabilities. (C) 2012 IMACS. Published by Elsevier B.V. All rights reserved.

Combining the wavelet transform and forecasting models to predict gas forward prices

This paper presents a forecasting technique for forward energy prices, one day ahead. This technique combines a wavelet transform and forecasting models such as multi- layer perceptron, linear regression or GARCH. These techniques are applied to real data from the UK gas markets to evaluate their performance. The results show that the forecasting accuracy is improved significantly by using the wavelet transform. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their MSEs are 0.02314 and 0.15384 respectively.

Modelling solute transport in structured soils: Performance evaluation of the ADR and TRM models

The movement of chemicals through the soil to the groundwater or discharged to surface waters represents a degradation of these resources. In many cases, serious human and stock health implications are associated with this form of pollution. The chemicals of interest include nutrients, pesticides, salts, and industrial wastes. Recent studies have shown that current models and methods do not adequately describe the leaching of nutrients through soil, often underestimating the risk of groundwater contamination by surface-applied chemicals, and overestimating the concentration of resident solutes. This inaccuracy results primarily from ignoring soil structure and nonequilibrium between soil constituents, water, and solutes. A multiple sample percolation system (MSPS), consisting of 25 individual collection wells, was constructed to study the effects of localized soil heterogeneities on the transport of nutrients (NO3-, Cl-, PO43-) in the vadose zone of an agricultural soil predominantly dominated by clay. Very significant variations in drainage patterns across a small spatial scale were observed tone-way ANOVA, p < 0.001) indicating considerable heterogeneity in water flow patterns and nutrient leaching. Using data collected from the multiple sample percolation experiments, this paper compares the performance of two mathematical models for predicting solute transport, the advective-dispersion model with a reaction term (ADR), and a two-region preferential flow model (TRM) suitable for modelling nonequilibrium transport. These results have implications for modelling solute transport and predicting nutrient loading on a larger scale. (C) 2001 Elsevier Science Ltd. All rights reserved.

Dermaseptin 01 as antimicrobial peptide with rich biotechnological potential: study of peptide interaction with membranes containing Leishmania amazonensis lipid-rich extract and membrane models

This article addresses the interactions of the synthetic antimicrobial peptide dermaseptin 01 (GLWSTIKQKGKEAAIAAA-KAAGQAALGAL-NH(2), DS 01) with phospholipid (PL) monolayers comprising (i) a lipid-rich extract of Leishmania amazonensis (LRE-La), (ii) zwitterionic PL (dipalmitoylphosphatidylcholine, DPPC), and (iii) negatively charged PL (dipalmitoylphosphatidylglycerol, DPPG). The degree of interaction of DS 01 with the different biomembrane models was quantified from equilibrium and dynamic liquid-air interface parameters. At low peptide concentrations, interactions between DS 01 and zwitterionic PL, as well as with the LRE-La monolayers were very weak, whereas with negatively charged PLs the interactions were stronger. For peptide concentrations above 1 mu g/ml, a considerable expansion of negatively charged monolayers occurred. In the case of DPPC, it was possible to return to the original lipid area in the condensed phase, suggesting that the peptide was expelled from the monolayer. However, in the case of DPPG, the average area per lipid molecule in the presence of DS 01 was higher than pure PLs even at high surface pressures, suggesting that at least part of DS 01 remained incorporated in the monolayer. For the LRE-La monolayers, DS 01 also remained in the monolayer. This is the first report on the antiparasitic activity of AMPs using Langmuir monolayers of a natural lipid extract from L. amazonensis. Copyright (C) 2011 European Peptide Society and John Wiley & Sons, Ltd.