A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.

Estudo sobre a memória longa na volatilidade das rendibilidades do índice Nasdaq 100: uma abordagem com base nos modelos tipo Arch

Mestrado em Controlo de Gestão e dos Negócios

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

Mestrado em Controlo de Gestão e dos Negócios

Systeemihinnan volatiliteetin mallinus Nord Pool -sähkömarkkinoilla

Työssä tarkastellaan, miten Nord Poolin spot-sähkömarkkinoiden systeemihinnan volatiliteetti on kehittynyt kyseisten markkinoiden kehittyessä ja onko volatiliteetin dynamiikkaa mahdollista mallintaa. Systeemihinta toimii referenssihintana sekä itse sähköpörssissä että pörssin ulkopuolella tapahtuvassa johdannaiskaupankäynnissä. Teoriaosassa luodaan katsaus Nord Pool -markkinoiden toimintaan ja systeemihinnan muodostumisen periaatteisiin. Lisäksi tutustutaan sähkön hinta-aikasarjoille tyypillisiin piirteisiin. Volatiliteetin mallinnus tapahtuu autoregressiivistä konditionaalista heteroskedastista (ARCH) mallia sekä sen laajennuksia hyödyntäen. Työn johtopäätöksinä todetaan, että sähkömarkkinoiden volatiliteettia mallinnettaessa tulisi ottaa huomioon hinnan muutosten asymmetrinen vaikutus volatiliteettiin ja volatiliteetin kausittainen vaihtelu. Lisäksi todettiin, etteivätparametrien kertoimet ole vakioita pitkällä aikavälillä tarkasteltaessa volatiliteetin ARCH-mallinnuksessa.

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.

Valor en riesgo del portafolio de TES de los bancos colombianos

En este trabajo se realiza la medición del riesgo de mercado para el portafolio de TES de un banco colombiano determinado, abordando el pronóstico de valor en riesgo (VaR) mediante diferentes modelos multivariados de volatilidad: EWMA, GARCH ortogonal, GARCH robusto, así como distintos modelos de VaR con distribución normal y distribución t-student, evaluando su eficiencia con las metodologías de backtesting propuestas por Candelon et al. (2011) con base en el método generalizado de momentos, junto con los test de independencia y de cobertura condicional planteados por Christoffersen y Pelletier (2004) y por Berkowitz, Christoffersen y Pelletier (2010). Los resultados obtenidos demuestran que la mejor especificación del VaR para la medición del riesgo de mercado del portafolio de TES de los bancos colombianos, es el construido a partir de volatilidades EWMA y basado en la distribución normal, ya que satisface las hipótesis de cobertura no condicional, independencia y cobertura condicional, al igual que los requerimientos estipulados en Basilea II y en la normativa vigente en Colombia.

Cortical Bone Stress Distribution in Mandibles with Different Configurations Restored with Prefabricated Bar-Prosthesis Protocol: A Three-Dimensional Finite-Element Analysis

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Influência do formato do rebordo na associação de uma prótese parcial removível de extremidade livre mandibular associada ao implante com sistema de retenção ERA, pelo método dos elementos finitos

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Influência do formato do rebordo alveolar sagital em reabilitações com associação de prótese parcial removível de extremidade livre e implante ósseo integrado

The association of mandibular distal extension removable partial dentures with an osteointegrated implant is a treatment option at hasn't been fully explored by modern rehabilitation dentistry yet. The objective of this study is to evaluate, by means of the bidimensional method of finite elements, the distribution of tension on the structures supporting the distal extension removable partial denture (DERPD), associated to a 10.0 x 3.75 mm osteointegrated implant with an ERA retention system, in alveolar ridges of different shapes. Eight models were created, representing, from a sagittal perspective: Model A (MA) – a half arch with a horizontal ridge without posterior support, with the presence of the lower left canine, and a conventional DERPD, with metallic support in the incisal aspect of this canine, as replacement for the first and second pre-molars and the first and second molars of the lower left half arch; Model B (MB) – similar to MA, but different because of the presence of a 3.75 x 10.00 mm implant with an associated ERA retention system in the posterior region of the DERPD base; Model C (MC) - similar to MA, however with a distally ascending ridge format; Model D (MD) – similar to MC, but different because there is an implant associated to a retention system; Model E (ME) - similar to MA, however with a distally descending ridge format; Model F (MF) – similar to ME, but ditfferent in the sense that there is an implant with an associated ERA retention system; Model G (MG) – similar to MA, however with a distally descending-ascending ridge format; Model H (MH) – similar to MG, but different in the sense that there is an implant with an associated ERA retention system. The finite element program ANSYS 9.0 was used to load the models with vertical forces of 50 N, on each cuspid tip. The format of distal descending edge (ME and MF) was that presented worse results, so in the models with conventional RPD as in the models with RPD associated to the implant and ERA system of retention, for the structures gingival mucosa and tooth support. 1) the distally descending ridge presented the most significant stress in the model with the conventional RPD (ME) or with a prosthesis associated to an implant (MF) and 2) the horizontal ridge (MB) provided more relief to the support structures, such as the tooth and the spongy bone, when there was an implant associated to an ERA retention system. The incorporation of the implants with the ERA system retention, in the posterior area of the toothless edge, it promotes larger stability and retention to PPREL, improving the patient's masticatory acting and, consequently, its comfort and function.

Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.

Assimetria na volatilidade - O impacto das más notícias nas rendibilidades do PSI 20

Mestrado em Contabilidade e Gestão das Instituições Financeiras

An integrated model for simulation of construction phasing of arch concrete dams

Dissertação de mestrado integrado em Civil Engineering

Estudo sobre a memória longa na volatilidade dos preços do ouro : uma abordagem com base nos modelos de tipo ARCH

Mestrado em Contabilidade e Análise Financeira

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.

Arch and Structural Breaks in United States Inflation

United States Phillips curves are routinely estimated without accounting for the shifts in mean inflation. As a result we may expect the standard estimates of Phillips curves to be biased and suffer from ARCH. We demonstrate this is indeed the case. We also demonstrate that once the shifts in mean inflation are accounted for the ARCH is largely eliminated in the estimated model and the model defining expected rate of inflation in the New Keynesian model plays no significant role in the dynamics of inflation.