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http://hdl.handle.net/1843/44029| Type: | Artigo de Periódico |
| Title: | Comparing volatility forecasting models during the global financial crisis |
| Authors: | Frank Magalhães de Pinho Ricardo F. Couto |
| Abstract: | Volatility estimation in financial markets has always been a challenge especially in time of crisis. Once asset prices and investment decisions are highly sensitive to such variable, many different models have been proposed in literature. This article estimates the volatility from a new family of stochastic volatility models called non-Gaussian State Space Models, a subclass of state space models where it is possible to compute exact likelihood. Volatilities of important Asian and Oceanian stock market indexes have been estimated and compared to APARCH model estimates. Results showed that non-Gaussian State Space Models outperformed significantly in both in-sample and forecasting cases. |
| Subject: | Administração Administração financeira |
| language: | eng |
| metadata.dc.publisher.country: | Brasil |
| Publisher: | Universidade Federal de Minas Gerais |
| Publisher Initials: | UFMG |
| metadata.dc.publisher.department: | FCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVAS ICX - DEPARTAMENTO DE ESTATÍSTICA |
| Rights: | Acesso Restrito |
| metadata.dc.identifier.doi: | 10.1080/03610918.2016.1152363 |
| URI: | http://hdl.handle.net/1843/44029 |
| Issue Date: | 2016 |
| metadata.dc.url.externa: | doi:10.1080/03610918.2016.1152363 |
| metadata.dc.relation.ispartof: | Communications in Statistics - Simulation and Computation |
| Appears in Collections: | Artigo de Periódico |
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