Bootstrap prediction in univariate volatility models with leverage effect

Autor(es)

Trucios, Carlos ^[1] ; Hotta, Luiz K. ^[1]

Afiliação do(s) autor(es)

^[1] Univ Estadual Campinas, Dept Stat, IMECC UNICAMP, BR-13083859 Campinas, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: MATHEMATICS AND COMPUTERS IN SIMULATION; v. 120, p. 91-103, FEB 2016.
• Citações Web of Science: 7

Resumo

The EGARCH and GJR-GARCH models are widely used in modeling volatility when a leverage effect is present in the data. Traditional methods of constructing prediction intervals for time series normally assume that the model parameters are known, and the innovations are normally distributed. When these assumptions are not true, the prediction interval obtained usually has the wrong coverage. In this article, the Pascual, Romo and Ruiz (PRR) algorithm, developed to obtain prediction intervals for GARCH models, is adapted to obtain prediction intervals of returns and volatilities in EGARCH and GJR-GARCH models. These adjustments have the same advantage of the original PRR algorithm, which incorporates a component of uncertainty due to parameter estimation and does not require assumptions about the distribution of the innovations. The adaptations show good performance in Monte Carlo experiments. However, the performance, especially in volatility prediction, can be very poor in the presence of an additive outlier near the forecasting origin. The algorithms are applied to the daily returns series of the GBP/USD exchange rates. (C) 2015 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights reserved. (AU)

• Processo FAPESP: 13/00506-1 - Séries temporais, ondaletas e análise de dados funcionais
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático
• Processo FAPESP: 12/09596-0 - Intervalos de previsão bootstrap em modelos de volatilidade univariados e multivariados.
• Beneficiário: Carlos Cesar Trucios Maza
• Modalidade de apoio: Bolsas no Brasil - Doutorado