Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Hiroyuki Kawakatsu
Keyword(s):  
Moving Average ◽  
Curse Of Dimensionality ◽  
Moving Averages ◽  
Conditional Covariance ◽  
Arch Models ◽  
Empirical Application ◽  
Proposed Model ◽  
Out Of Sample ◽  
Weight Model ◽  
Weighted Moving Average

AbstractThis paper considers a class of multivariate ARCH models with scalar weights. A new specification with hyperbolic weighted moving average (HWMA) is proposed as an analogue of the EWMA model. Despite the restrictive dynamics of a scalar weight model, the proposed model has a number of advantages that can deal with the curse of dimensionality. The empirical application illustrates that the (pseudo) out-of-sample multistep forecasts can be surprisingly more accurate than those from the DCC model.

scholarly journals Kajian Peramalan dan Pengaruh Profitabilitas terhadap Harga Saham pada Perusahaan Makanan dan Minuman Tahun 2011-2016

2017 ◽  
Vol 8 (1) ◽  
pp. 75-88
Author(s):  
Octaviani Hutahaean ◽  
Abdul Basith
Keyword(s):  
Moving Average ◽  
Exponential Smoothing ◽  
Profit Margin ◽  
Moving Averages ◽  
Return On Assets ◽  
Return On Equity ◽  
Purposive Sampling ◽  
Net Profit ◽  
Weighted Moving Average

Laju pertumbuhan industri terbesar selama tahun 2011-2015 yaitu 8,48 persen terhadap Produk Domestik Bruto (PDB) mencerminkan perusahaan yang termasuk dalam industri makanan dan minuman memiliki kinerja bisnis yang baik. Penelitian ini bertujuan untuk mengetahui kondisi harga saham dan profitabilitas pada tahun 2011-2015, mengetahui peramalan harga saham dan profitabilitas pada tahun 2016 dan untuk menganalisis pengaruh profitabilitas terhadap harga saham pada tahun 2011-2016. Analisis profitabilitas dipresentasikan oleh beberapa rasio keuangan yaitu Return On Equity (ROE), Return On Assets (ROA), Net Profit Margin (NPM), dan Earning Per Share (EPS). Penelitian ini menggunakan teknik purposive sampling dan data yang digunakan merupakan data sekunder. Peramalan menggunakan metode moving averages, weighted moving average, dan exponential smoothing dengan nilai MAD terkecil menggunakan aplikasi POM-QM for windows-3. Model analisis yang digunakan dalam penelitian ini adalah regresi linier berganda dengan menggunakan SPSS 18. Hasil penelitian menunjukkan bahwa PT Delta Djakarta, Tbk (DLTA) memiliki kondisi harga saham, ROE, ROA, dan EPS dengan rata-rata tertinggi selama 2011-2015. PT Tiga Pilar Sejahtera Food, Tbk (AISA) memiliki rata-rata NPM tertinggi selama 2011-2015. PT Delta Djakarta, Tbk (DLTA) dan PT Indofood Sukses Makmur, Tbk (INDF) menunjukkan peramalan tahun 2016 terhadap harga saham dan profitabilitas mengalami peningkatan dari tahun sebelumnya. Profitabilitas berpengaruh simultan dan signifikan terhadap harga saham dan secara parsial menunjukkan bahwa ROE dan EPS berpengaruh dan signifikan terhadap harga saham.

scholarly journals Forecasting Security Returns With Simple Moving Averages

2011 ◽  
Vol 7 (11) ◽  
Author(s):  
Camillo Lento
Keyword(s):  
Random Walk ◽  
Moving Average ◽  
Predictive Ability ◽  
Random Walk Model ◽  
Forecasting Model ◽  
Moving Averages ◽  
Data Set ◽  
Out Of Sample ◽  
Security Returns

This study examines the ability of simple moving averages to forecast security returns. Five moving average variants are used to develop a forecasting model using OLS regression for the DJIA, NASDAQ, TSX and CAD-US exchange rate. The forecasting model is compared to the random-walk model without a drift and tested out-of-sample. The results suggest that the moving averages have no predictive ability on the four indices at a 1 day lag. However, the moving averages explain approximately 45% to 48% of the variation in the returns in the following 10 days and clearly outperform the random-walk model. Most of the forecasting ability is derived from the MA (5, 150). Hurst Statistic estimation is used to confirm the long-term dependencies in the lag 10 data set.

An extended nonparametric homogeneously weighted moving average sign control chart

2021 ◽  
Author(s):  
Vasileios Alevizakos ◽  
Kashinath Chatterjee ◽  
Christos Koukouvinos
Keyword(s):  
Control Chart ◽  
Moving Average ◽  
Weighted Moving Average

scholarly journals On Adaptive Moving Average Algorithms for the Application of the Conservative Power Theory in Systems with Variable Frequency

Energies ◽  
2021 ◽  
Vol 14 (4) ◽  
pp. 1201
Author(s):  
Daniel dos Santos Mota ◽  
Elisabetta Tedeschi
Keyword(s):  
Time Delay ◽  
Moving Average ◽  
Voltage Source ◽  
Moving Averages ◽  
Nonlinear Load ◽  
Power Theory ◽  
Variable Time Delay ◽  
Variable Time ◽  
Conservative Power Theory ◽  
Conservative Power

The Conservative Power Theory (CPT) emerged in recent decades as a theoretical framework for coping with harmonically distorted and unbalanced electric networks of ac power systems with a high participation of converter interfaced loads and generation. The CPT measurements are intrinsically linked to moving averages (MA) over one period of the grid. If the CPT is to be used in a low-inertia isolated-grid scenario, which is subjected to frequency variations, adaptive moving averages (AMA) are necessary. This paper reviews an efficient way of computing MAs and turns it into an adaptive one. It shows that an easily available variable time delay block, from MATLAB, causes steady-state errors in the measurements when the grid frequency varies. A new variable time delay block is, thus, proposed. Nonetheless, natural pulsations in the instantaneous power slip through MAs when the discrete moving average window does not fit perfectly the continuously varying period of the grid. A method consisting of weighing two MAs is reviewed and a new and effective hybrid AMA is proposed. The CPT transducers with the different choices of AMAs are compared via computer simulations of a single-phase voltage source feeding either a linear or a nonlinear load.

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