کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7377078 | 1480111 | 2016 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Binomial Markov-Switching Multifractal model with Skewed t innovations and applications to Chinese SSEC Index
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper presents the Binomial Markov-switching Multifractal (BMSM) model of asset returns with Skewed t innovations (BMSM-Skewed t for short), which considers the fat tails, skewness and multifractality in asset returns simultaneously. The parameters of BMSM-Skewed t model can be estimated by Maximum Likelihood (ML) methods, and volatility forecasting can be accomplished via Bayesian updating. In order to evaluate the performance of BMSM-Skewed t model, BMSM model with Normal innovations (BMSM-N), BMSM model with Student-t innovations (BMSM-t) and GARCH(1,1) models (GARCH-N, GARCH-t and GARCH-Skewed t) are chosen for comparison. Through empirical studies on Shanghai Stock Exchange Composite Index (SSEC), we find that for sample estimation, BMSM models outperform the GARCH(1,1) models through BIC and AIC rules, and BMSM-Skewed t performs the best among all the models due to its fat tails, skewness and multifractality. In addition, BMSM-Skewed t model dominates other models at most forecasting horizons for out-of-sample volatility forecasts in terms of MSE, MAE and SPA test.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 462, 15 November 2016, Pages 56-66
Journal: Physica A: Statistical Mechanics and its Applications - Volume 462, 15 November 2016, Pages 56-66
نویسندگان
Yufang Liu, Weiguo Zhang, Junhui Fu,