金融计量经济学(双语版)(全套课件) （全套完整课件）.ppt

课件 5-* In-sample Likelihood Ratio Test Results:EGARCH Versus Implied Volatility 课件 5-* Conclusions for In-sample Model Comparisons & Out-of-Sample Procedure IV has extra incremental power for modelling stock volatility beyond GARCH. But the models do not represent a true test of the predictive ability of IV. ? So the authors conduct an out of sample forecasting test. ? There are 729 data points. They use the first 410 to estimate the models, and then make a 1-step ahead forecast of the following week’s volatility. ? Then they roll the sample forward one observation at a time, constructing a new one step ahead forecast at each step. ? 课件 5-* Out-of-Sample Forecast Evaluation They evaluate the forecasts in two ways: The first is by regressing the realised volatility series on the forecasts plus a constant: (7) where is the “actual” value of volatility, and is the value forecasted for it during period t. Perfectly accurate forecasts imply b0 = 0 and b1 = 1. But what is the “true” value of volatility at time t ? ? Day & Lewis use 2 measures 1. The square of the weekly return on the index, which they call SR. 2. The variance of the week’s daily returns multiplied by the number of trading days in that week. 课件 5-* Out-of Sample Model Comparisons ? ? ? ? ? ? ? ? ? ? ? ? ? 课件 5-* Encompassing Test Results: Do the IV Forecasts Encompass those of the GARCH Models? ? ? ? ? ? ? ? 课件 5-* Conclusions of Paper ? Within sample results suggest that IV contains extra information not contained in the GARCH / EGARCH specifications. ? Out of sample results suggest that nothing can accurately predict volatility! 课件 5-* Multivariate GARCH Models Multivariate GARCH models are used to estimate and to forecast covariances and correlations. The basic formulation is similar to that of the GARCH model, but where the covariances as well as the variances are permitted to be time-varying. There are 3 main classes of multivariate GARCH formulation that are widely u