平稳过渡指数平滑预测高频汇率波动

IF 0.7 Q4 BUSINESS, FINANCE
J. Ho, W. Choo, Ruxian Zhangyu, C. Yee, W. Lau
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引用次数: 0

摘要

平滑过渡指数平滑(STES)是一种流行的波动率预测指数平滑方法;其中STES模型的成功在于转换变量的选择。在本文中,三个已实现方差(RV),每日、每周和每月RV被用作STES方法中的转换变量,以评估日内数据的性能。虽然日收益平方是一个有噪声的序列,但在本研究中,平方残差和日RV被用作实际波动率的代理。使用五个汇率系列,对Ad Hoc方法、广义自回归条件异方差(GARCH)模型和使用各种RV组合的STES方法进行了比较分析。实证结果表明,当使用每日RV作为实际波动率的代理时,在RMSE评估标准下,传统的STES模型和以RV为过渡变量的STES模式优于Ad Hoc方法和GARCH模型。在MAE评估下,传统STES模型和以RV作为过渡变量的STES模型也观察到了类似的有希望的结果。MCS结果通常重申了MAE和RMSE评估标准的结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Forecasting the High-Frequency Exchange Rate Volatility with Smooth Transition Exponential Smoothing
Smooth Transition Exponential Smoothing (STES) is a popular exponential smoothing method for volatility forecasting; whereby the success of the STES model lies in the choice of the transition variable. In this paper, three realized variance (RV), daily, weekly and monthly RV were used as the transition variables in STES methods to evaluate the performance of intraday data. While daily squared return is a noisy series, squared residual and daily RV were employed as the proxy for actual volatilities in this study. With five series of exchange rates, a comparative analysis was conducted for Ad Hoc methods, Generalised Autoregressive Conditional Heteroscedastic (GARCH) models, and STES methods using various RV combinations. The empirical results showed that when daily RV was used as proxy for actual volatility, the traditional STES models and STES models with RV as the transition variables outperformed Ad Hoc methods and GARCH models under the RMSE evaluation criteria. Similar promising results were also observed for traditional STES models and STES models with RV as the transition variables under MAE evaluation. The MCS results generally reaffirmed the results from both the MAE and RMSE evaluation criteria.
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来源期刊
CiteScore
1.50
自引率
0.00%
发文量
12
审稿时长
20 weeks
期刊介绍: To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
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