GARCH-M Model With an Asymmetric Risk Premium: Distinguishing Between ‘Good’ and ‘Bad’ Volatility Periods
Working Papers. SSRN , 2022.
We proposed the new method (GARCH-M-LEV) that allows capturing the asymmetry both in the variance and return equations. The development of the model is encouraged by the stylized fact that investors demand a higher risk premium during ”bad” volatility periods rather than ”good” ones. To study the properties of the obtained estimators, we conducted a simulated data analysis, considering a data generating process characterized by asymmetric responses of risk premium to volatility changes. As a result, we have found statistical evidence in favor of a significant advantage of the proposed method compared to existing alternatives. Further, the proposed model was applied to study the S&P 500 market index. During most periods under consideration, we have found evidence of an asymmetric relationship between the risk premium and volatility changes. Due to this reason, the GARCH-M-LEV model usually was able to outperform the alternative GARCH family models according to the information criterion.
Semi-nonparametric Generalized Autoregressive Conditional Heteroscedasticity Model with Application to Bitcoin Volatility Estimation
, , HSE Economic Journal 2022 Vol. 26 No. 4 P. 623-646
This study raises the problem of modeling conditional volatility under the random shocks’ normality assumption violation. To obtain more accurate estimates of GARCH process parameters and conditional volatilities, we propose two semi-nonparametric GARCH models. The implementation of the proposed methods is based on an adaptation of the [Gallant, Nychka, 1987] semi-nonparametric method to the family ...
Added: December 6, 2022
, , Eurasian Economic Review 2019
The paper studies the nature and dynamic properties of the reinvestment risk premium in the Treasury bond market. Reinvestment risk has recently gained due attention in investment practice, for example, in managing direct investment portfolios, mutual and pension funds, insurance portfolios and credit portfolios. The reinvestment risk premium is estimated by reconstructing a coupon bond with ...
Added: December 14, 2018
A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads: Application of Eurozone Market Data
, , A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads: Application of Eurozone Market Data / Высшая школа экономики. Series FE "Financial Economics". 2012. No. 13/FE/2012.
In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial shapes of the yield and hazard-rate curves. The approach allows us to jointly ...
Added: March 18, 2013
, Fluke of stochastic volatility versus GARCH inevitability or Which model creates better forecasts? / Высшая школа экономики. Series FE "Financial Economics". 2014. No. 37.
The paper proposes the thorough investigation of in-sample and out-of-sample performance of four GARCH and two stochastic volatility models, estimated on the Russian financial data. The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression ...
Added: October 2, 2014
, , - 2016
We propose new GARCH model, which have two separate errors - negative and positive shocks, which are connected by copula. First estimation results showed, that this model, despite of very complicated routine of likelihood function maximizing, outperformed standard models. ...
Added: October 16, 2015
, , Горный журнал 2014 № 9 С. 94-99
The present paper substantiates the demand for a unified grid of risk premiums in appraisal of mineral reserves and resources. An algorithm of construction of such a grid is proposed. This algorithm is based on correlation between the value of risk premium, the category of geological information about reserves (resources) and the class of geological ...
Added: March 27, 2015
, , AlterEconomics (ранее - Журнал экономической теории) 2016 № 4 С. 18-27
В данной работе исследуется влияние информационной политики Банка России на индексы ММВБ и РТС в 2014-2015 гг. Для этого конструируется информационный индекс, учитывающий источник и содержание вербальных интервенций представителей Банка России в указанный период. Затем на дневных данных оцениваются GARCH-модели, позволяющие выявить влияние данного индекса как на средние значения, так и на волатильность фондовых показателей. ...
Added: October 13, 2016
, , , Вестник Воронежского государственного университета. Серия: Экономика и управление 2017 № 2 С. 97-105
The article proposes a new method of structural breaks detection in time series in the piecewise-specified GARCH-models. The method is based on the moving likelihood ratio statistics. In case of absence of structural breaks lower and upper 95 %- and 99 %- bounds were found for the likelihood ratio statistics. The criterion of structural breaks ...
Added: April 28, 2017
, , Финансы: теория и практика 2016 Т. 20 № 5 С. 105-114
Hedging is one of the most popular strategies for market risk management. Hedging is aimed at decreasing the volatility, or variability, of portfolio returns. The portfolio usually consists of the spot assets and hedging instruments. The latter can be represented by futures, options and over-the-counter assets such as forwards and swaps. While futures’ hedging is ...
Added: October 5, 2016
, , AlterEconomics (ранее - Журнал экономической теории) 2019 № 4 С. 654-672
This paper is devoted to the analysis of the Bank of Russia verbal interventions from 2014 to 2017 and relationship between verbal interventions and interest rates in Russian economy. As verbal interventions of the regulator, all statements made by officials of the Bank of Russia were examined, as well as statements by the press service ...
Added: October 23, 2019
, , Прикладная эконометрика 2021 Т. 61 С. 110-139
In this article, two popular tests for structural breaks are considered for return volatilities: the ICSS algorithm employing the AIT test, and the least-squares (LS) estimator. We show that the AIT test is sensitive to many features of the time series, and the use of asymptotic critical values is not always justified. The LS method ...
Added: April 20, 2021
The Impact of a Central Bank’S Verbal Interventions on Stock Exchange Indices in a Resource Based Economy: The Evidence from Russia
, , The Impact of a Central Bank’S Verbal Interventions on Stock Exchange Indices in a Resource Based Economy: The Evidence from Russia / Высшая школа экономики. Series WP BRP "Economics/EC". 2016. No. 155.
This paper analyzes the intraday impact of the Bank of Russia’s verbal interventions on the Russian stock exchange indices in 2014-2015. We construct a communication index which summarizes the verbal interventions of the Bank of Russia during this period. We use GARCH-modelling on intraday data on the returns of the RTS and MICEX indices. We ...
Added: November 28, 2016
, Прикладная эконометрика 2017 Т. 48 С. 63-84
This article is dedicated to multivariate comparison of big number of GARCH, ARFIMA and HAR-RV families’ models considering their one-day ahead realized volatility, which is known to be a consistent measure of daily volatility. A total of 102 models from three families were included in comparison.Comparison was completed with the help of Model Confidence Set ...
Added: December 14, 2017
, , Testing for Ambiguity Aversion in the Russian Stock Market / НИУ ВШЭ. Series WP1 "Институциональные проблемы российской экономики". 2016. No. 04.
This paper represents the first comprehensive empirical study on ambiguity and risk in the Russian stock market. Modern portfolio theory assumes that there is a linear relationship between risk and return and known probabilities of outcomes. This risk-return relationship plays an important role in the financial literature, however, there is no clear empirical evidence on ...
Added: October 18, 2016
, , Прикладная эконометрика 2018 Т. 51 С. 126-139
We suggest a hybrid algorithm for structural breaks detection when using a class of piecewise-specified GARCH(1,1) models. The algorithm comprises two steps. In the first step the moments of structural breaks are detected using KL-ICSS method based on (Kokoszka, Leipus, 1999) and (Inclán, Tiao, 1994). In the second step previously detected moments of structural breaks ...
Added: September 9, 2018
, , , Финансовый менеджмент 2017 № 2 С. 80-93
Особенности построения премий за риск в трехфакторной модели Фама-Френча. Кейс Индонезии ...
Added: March 24, 2017
Сравнение моделей оценок VAR на интервалах прогнозирования разной срочности для акций российского фондового рынка
, Прикладная эконометрика 2011 № 4 С. 58-70
The paper aims at finding the most accurate VaR model for the four most liquid Russian stocks. Among the possible VaR modeling techniques, the estimates considered in this work are based on GARCH models with six different distributions. A back testing analysis is performed to evaluate the accuracy of the alternative models and to find ...
Added: September 23, 2012
, , Экономический журнал Высшей школы экономики 2018 Т. 22 № 2 С. 228-250
This paper measures the effects of the Russian Government and the Bank of Russia’s verbal interventions on the USD/RUB exchange rate. To take into account the verbal interventions by the Bank of Russia, we analyze the announcements made by the members of its Board of Directors and by the press-service. Concerning the communication policy of ...
Added: September 14, 2018
Численное сравнение V-MLR и CUSUM методов обнаружения структурных сдвигов для кусочно-заданных GARCH-моделей
, , , Труды Московского физико-технического института 2017 Т. 9 № 3 С. 115-121
In this article we propose a new method of structural breaks detection for GARCHmodels called V-MLR. We use two numerical experiments consisting of 10 000 simulations to compare our V-MLR method with the well-known CUSUM method. In the first experiment with a single structural break V-MLR method found the correct number of structural breaks in ...
Added: July 12, 2017
, , Scottish Journal of Political Economy 2018 Vol. 65 No. 5 P. 528-549
This paper studies the incidence, determinants, and pricing of unprotected oral sex in the London sex services market. The analysis is based upon matched sex worker–client panel data, which were collected from ‘field reports’ on PunterNet.com website over the 1999–2009 time period. We find a steady increase in the incidence of unprotected oral sex during ...
Added: June 6, 2018
, , Журнал Новой экономической ассоциации 2019 Т. 2 № 42 С. 49-69
Stability of inflation expectations is a necessary part of inflation targeting. Among many factors that may affect the dynamics of inflation expectations, one of the most important is the communication policy of the central bank and representatives of the government. This paper measures the effectiveness of verbal interventions by the Government and the Bank of Russia on the high-frequency ...
Added: July 14, 2019
, , Прикладная эконометрика 2019 Т. 54 С. 90-104
We propose a new method of a structural break detection for GARCH(1,1) model. This new method is called the KS method since it is based on Kolmogorov-Smirnov statistics. By using Monte-Carlo experiments we show that the KS method has good statistical properties. We compare our method with three well-known CUSUM methods: (Kokoszka, Leipus, 1999) referred ...
Added: March 28, 2019
, , Economics Bulletin 2016 Vol. 36 No. 4 P. 2368-2380
The paper proposes the thorough investigation of in-sample and out-of-sample performance of five GARCH and two stochastic volatility models, estimated on the Russian financial data. The data includes prices of Aeroflot and Gazprom stocks and Ruble against US dollar exchange rates. In our analysis we use probability integral transform for in-sample comparison and Mincer-Zarnowitz regression ...
Added: December 27, 2016
A Binary Model versus Discriminant Analysis Relating to Corporate Bankruptcies: The Case of Russian Construction Industry
, , Journal of Accounting, Finance and Economics 2013 Vol. 3 No. 1 P. 65-76
The last market crash of 2008-2009 showed that the construction sphere is one of the most fragile subject to the crisis effect. The destructive effect of this crash resulted in substantial decrease in mortgage lending, price index, capital investment, and in growth of the cost level. As the construction industry remains strategically important, the eruption ...
Added: September 5, 2013