دانلود رایگان مقاله پیش بینی تحقق نوسانات مبتنی بر محدوده با روش میانگین مدل پویا

عنوان فارسی
پیش بینی تحقق نوسانات مبتنی بر محدوده با استفاده از روش میانگین مدل پویا
عنوان انگلیسی
Forecasting the realized range-based volatility using dynamic model averaging approach
صفحات مقاله فارسی
0
صفحات مقاله انگلیسی
15
سال انتشار
2016
نشریه
الزویر - Elsevier
فرمت مقاله انگلیسی
PDF
کد محصول
E3393
رشته های مرتبط با این مقاله
علوم اقتصادی
گرایش های مرتبط با این مقاله
اقتصاد مالی و اقتصاد پولی
مجله
مدلسازی اقتصادی - Economic Modelling
دانشگاه
دانشکده اقتصاد و مدیریت، دانشگاه جنوب غربی حمل و نقل، چنگدو، چین
کلمات کلیدی
پیش بینی نوسانات، متوجه نوسانات مبتنی بر برد، میانگین مدل پویا، مدل های ترکیبی
چکیده

Abstract


In this study, we forecast the realized range-based volatility (RRV) using the heterogeneous autoregressive realized range-based volatility (HAR-RRV) model and its various extensions, which are called HAR-RRV-type models. We first consider the time-varying property of those models’ parameters using the dynamic model averaging (DMA) approach and evaluate the forecasting performance of three types: individual HAR-RRV-type models, combined models with constant weights, and combined models with time-varying weights. Our out-of-sample empirical results show that combined models with time-varying weights can not only generate more accurate forecasts, but also beat individual models and combined models with constant weights.

نتیجه گیری

5. Conclusions


Since the realized range-based volatility (RRV) is proved to be a better measurement than the realized volatility (RV), this study uses RRV as the proxy for oil futures volatility. To investigate the timevarying property of HAR-RRV models’ parameters, this paper applies DMA approach as a combined model with time-varying weights into RRV framework. At first, this study constructs five individual HAR-RRV-type models including HAR-RRV-ONI considering overnight information. Moreover, based on the individual models, combined models with constant weights and time-varying weights are constructed. Finally, the performance of three types of the models is compared by various methods including MCS test. Our findings demonstrate that the HARRRV-type models can successfully capture the long-term memory behavior of volatility in oil futures market. Combined models systematically perform better than individual models. In particular, using DMA to combine the forecasts of HAR-RRV models can significantly improve the forecasting accuracy. DMA approach can beat both individual models and combined models with constant weights, including the combined model with equal-weighted average, which is usually used as the benchmark. The results highlight the significance of using DMA as a combined model with time-varying weights. By allowing both the models and their coefficients changing over time, DMA approach shows several benefits to be incorporated into RRV framework and opens a new path for forecasting technique in real time.


بدون دیدگاه