Testing for misspecification in the short-run component of GARCH-type models

2018 ◽  
Vol 22 (5) ◽  
Author(s):  
Thomas Chuffart ◽  
Emmanuel Flachaire ◽  
Anne Péguin-Feissolle
Keyword(s):  
Monte Carlo ◽  
Lagrange Multiplier ◽  
Taylor Expansion ◽  
Large Set ◽  
Short Term ◽  
Arch Models ◽  
Monte Carlo Experiments ◽  
Type Test ◽  
Short Run ◽  
Lagrange Multiplier Tests

Abstract In this article, a misspecification test in conditional volatility and GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown GARCH-type models. This new test can be seen as a general misspecification test of a large set of GARCH-type univariate models. It focuses on the short-term component of the volatility. We investigate the size and the power of this test through Monte Carlo experiments and we compare it to two other standard Lagrange Multiplier tests, which are more restrictive. We show the usefulness of our test with an illustrative empirical example based on daily exchange rate returns.

scholarly journals Statistical Tests of Symbolic Dynamics

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 817
Author(s):  
Fernando López ◽  
Mariano Matilla-García ◽  
Jesús Mur ◽  
Manuel Ruiz Marín
Keyword(s):  
Monte Carlo ◽  
Symbolic Dynamics ◽  
Null Hypothesis ◽  
Statistical Tests ◽  
General Applicability ◽  
Monte Carlo Experiments ◽  
The Mean ◽  
Theoretical Application ◽  
New Statistics ◽  
General Method

A novel general method for constructing nonparametric hypotheses tests based on the field of symbolic analysis is introduced in this paper. Several existing tests based on symbolic entropy that have been used for testing central hypotheses in several branches of science (particularly in economics and statistics) are particular cases of this general approach. This family of symbolic tests uses few assumptions, which increases the general applicability of any symbolic-based test. Additionally, as a theoretical application of this method, we construct and put forward four new statistics to test for the null hypothesis of spatiotemporal independence. There are very few tests in the specialized literature in this regard. The new tests were evaluated with the mean of several Monte Carlo experiments. The results highlight the outstanding performance of the proposed test.

Determinants of Treasury-LIBOR Swap Spreads

2005 ◽  
Vol 08 (04) ◽  
pp. 687-705 ◽  
Author(s):  
D. K. Malhotra ◽  
Vivek Bhargava ◽  
Mukesh Chaudhry
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Default Risk ◽  
Yield Curve ◽  
Short Term ◽  
Long Run ◽  
Interest Rate Volatility ◽  
Short Run ◽  
Using Data ◽  
Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

On the Probability Distribution of Mooring Line Tensions in a Directional Environment

2011 ◽  
Author(s):  
Jan Mathisen ◽  
Siril Okkenhaug ◽  
Kjell Larsen
Keyword(s):  
Time Series ◽  
Probability Distributions ◽  
Extreme Value Distribution ◽  
Line Tension ◽  
Extreme Value ◽  
Mooring Line ◽  
Large Set ◽  
Short Term ◽  
Reliability Method ◽  
Line Design

A joint probabilistic model of the metocean environment is assembled, taking account of wind, wave and current and their respective heading angles. Mooring line tensions are computed in the time domain, for a large set of short-term stationary conditions, intended to span the domain of metocean conditions that contribute significantly to the probabilities of high tensions. Weibull probability distributions are fitted to local tension maxima extracted from each time series. Long time series of 30 hours duration are used to reduce statistical uncertainty. Short-term, Gumbel extreme value distributions of line tension are derived from the maxima distributions. A response surface is fitted to the distribution parameters for line tension, to allow interpolation between the metocean conditions that have been explicitly analysed. A second order reliability method is applied to integrate the short-term tension distributions over the probability of the metocean conditions and obtain the annual extreme value distribution of line tension. Results are given for the most heavily loaded mooring line in two mooring systems: a mobile drilling unit and a production platform. The effects of different assumptions concerning the distribution of wave heading angles in simplified analysis for mooring line design are quantified by comparison with the detailed calculations.

scholarly journals MENEJMEN RISIKO DALAM PERFEKTIF ISLAM

2017 ◽  
Vol 5 (1) ◽  
Author(s):  
Supriyo Supriyo
Keyword(s):  
Risk Management ◽  
Production System ◽  
Human Life ◽  
Short Term ◽  
Islamic Perspective ◽  
The Family ◽  
The Future ◽  
Short Run ◽  
A Company

Human life with all its activities in order to meet the needs of life always will always faced the possibility of risk either directly or indirectly, can occur in the short term or long term. A possibility of the occurrence or risk had certainly will affect the activity to be done And adversely affect the economy of a family and even a company, if the risks that occur have a vital impact on the family or an organization. Many failures within a company's organization are due to unforeseen risks occurring as for example the company never thinks that a newly established company is still in the short run abruptly because a workforce lacking control in the production system creates a great fire and spends all and has a bad impact For the economy of a family and even a company, if the risks that occur have a vital impact on the family or an organization. Many failures within a company's organization are due to unforeseen risks occurring as for example the company never thinks that a newly established company is still in the short run abruptly because a workforce lacking control in the production system creates a terrible fire and consumes all the company's assets Newly established. Everyone or anyone else would not want the incident to happen and befall themselves and his business in the future. Keywords: Islamic perspective, Risk management

scholarly journals Social-network-based water supply network sectorization methodology using monte carlo simulation to predict economical and operational benefits

2017 ◽  
Vol 26 ◽  
pp. 44-53
Author(s):  
Enrique Campbell ◽  
Amilkar Illaya-Ayza ◽  
Joaquín Izquierdo ◽  
Rafael Pérez-García ◽  
Idel Montalvo
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Water Supply ◽  
Optimization Method ◽  
Supply Network ◽  
Water Supply Network ◽  
Water Supply Management ◽  
Net Profit ◽  
Short Run ◽  
The Impact

Water Supply Network (WSN) sectorization is a broadly known technique aimed at enhancing water supply management. In general, existing methodologies for sectorization of WSNs are limited to assessment of the impact of its implementation over reduction of background leakage, underestimating increased capacity to detect new leakage events and undermining appropriate investment substantiation. In this work, we raise this issue and put in place a methodology to optimize sectors' design. To this end, we carry out a novel combination of the Short Run Economic Leakage Level concept (SRELL- corresponding to leakage level that can occur in a WSN in a certain period of time and whose reparation would be more costly than the benefits that can be obtained). With a non-deterministic optimization method based on Genetic Algorithms (GAs) in combination with Monte Carlo simulation. As an example of application, methodology is implemented over a 246 km pipe-long WSN, reporting 72 397 $/year as net profit.

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