Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/49398| Título: | Modelling and forecasting WIG20 daily returns |
| Autor(es): | Amado, Cristina Silvennoinen, Annastiina Terasvirta, Timo |
| Palavras-chave: | Autoregressive conditional heteroskedasticity Forecasting volatility Modelling volatility Multiplicative time-varying GARCH Smooth transition |
| Data: | Mar-2017 |
| Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| Citação: | Amado, C., Silvennoinen, A., & Teräsvirta, T. (2017). Modelling and forecasting WIG20 daily returns (No. 09/2017). NIPE-Universidade do Minho |
| Resumo(s): | The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity. |
| Tipo: | Documento de trabalho |
| URI: | https://hdl.handle.net/1822/49398 |
| Versão da editora: | http://www.nipe.eeg.uminho.pt/Uploads/WP_2017/NIPE%20WP_09_2017.pdf |
| Acesso: | Acesso aberto |
| Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
| Ficheiro | Descrição | Tamanho | Formato | |
|---|---|---|---|---|
| NIPE WP_09_2017.pdf | 1,73 MB | Adobe PDF | Ver/Abrir |
