Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts

IF 0.6 Q3 Economics, Econometrics and Finance

Economics Bulletin Pub Date : 2014-10-22 DOI:10.2139/SSRN.2513851

Lakshina Valeriya Vladimirovna, M. Andrey

引用次数: 0

Abstract

The paper proposes the thorough investigation of in-sample and out-of-sample performance of five GARCH and two stochastic volatility models, estimated on the Russian financial data. The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression along with classical forecast performance measures for out-of-sample comparison. Studying both the explanatory and the forecasting power of the considered models we came to the conclusion that stochastic volatility models perform equally or in some cases better than GARCH models.

查看原文本刊更多论文

随机波动的侥幸还是GARCH的必然性，或者哪个模型能做出更好的预测

本文对俄罗斯金融数据估计的五个GARCH模型和两个随机波动率模型的样本内和样本外性能进行了深入研究。这些数据包括俄罗斯航空公司和俄罗斯天然气工业股份公司的股价，以及卢布对美元的汇率。在我们的分析中，我们使用概率积分变换进行样本内比较和Mincer-Zarnowitz回归以及经典的预测性能指标进行样本外比较。研究了所考虑的模型的解释能力和预测能力，我们得出结论，随机波动率模型的表现与GARCH模型相同，甚至在某些情况下更好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

期刊介绍： The Economic Bulletin is an open-access letters journal founded in 2001 with the mission of providing free and extremely rapid scientific communication across the entire community of research economists. EB publishes original notes, comments, and preliminary results. We are especially interested in publishingmanuscripts that keep the profession informed about on-going research programs. Our publication standard is that a manuscript be original, correct and of interest to a specialist. Submissions in these categories are refereed and our objective is to make a decision within two months. Accepted papers are published immediately. It is expected that in many cases, manuscripts published in these categories will form the foundation for more complete works to besubsequently submitted to other journals. In all cases, submissions are restricted to seven printed pages exclusive of references, tables, figures, and appendices, and must be in PDF format. EB also publishes non-refereed letters to the editor, conference announcements and research announcements.