An implementation of the LHAR-CJ model with functional coefficients
Fecha
2018Autor
Nivel académico
Grado
Tipo
Materia
Abstract
This article aims to compare the forecast performance of the LHAR-CJ model, proposed in Corsi and Renò (2012) and a LHAR-CJ model with functional coefficients for a Vale return series. This new model, instead of estimating fixed coefficients for each variable in the autoregressive model, estimates a functional coefficient that is state dependent, where the state is represented by the lagged realized volatility. In other words, the coefficients are functions of the states of the response variabl ...
This article aims to compare the forecast performance of the LHAR-CJ model, proposed in Corsi and Renò (2012) and a LHAR-CJ model with functional coefficients for a Vale return series. This new model, instead of estimating fixed coefficients for each variable in the autoregressive model, estimates a functional coefficient that is state dependent, where the state is represented by the lagged realized volatility. In other words, the coefficients are functions of the states of the response variable. We found out that, for this data, the functional coefficients model has a better forecast performance with the right smoothness parameter. ...
Institución
Universidade Federal do Rio Grande do Sul. Instituto de Matemática e Estatística. Curso de Estatística: Bacharelado.
Colecciones
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Tesinas de Curso de Grado (36113)Tesinas Estadística (275)
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