scholarly journals  On the Performance of Garch Family Models in the Presence of Additive Outliers

2018 ◽  
Author(s):  
Monday Osagie Adenomon ◽  
Ngozi G. Emenogu ◽  
Nweze Nwaze Obinna
Keyword(s):  
Time Series ◽  
Mean Absolute Error ◽  
Financial Time Series ◽  
Absolute Error ◽  
Medium Size ◽  
Series Length ◽  
Financial Time ◽  
Large Size ◽  
Additive Outliers ◽  
Family Models

It is a common practice to detect outliers in a financial time series in order to avoid the adverse effect of additive outliers. This paper investigated the performance of GARCH family models (sGARCH; gjrGARCH; iGARCH; TGARCH and NGARCH) in the presence of different sizes of outliers (small, medium and large) for different time series lengths (250, 500, 750, 1000, 1250 and 1500)  using root mean square error (RMSE) and mean absolute error (MAE) to adjudge the models. In a simulation iteration of 1000 times in R environment using rugarch package, results revealed that for small size of outliers, irrespective of the length of time series, iGARCH dominated, for medium size of outliers, it was sGARCH and gjrGARCH that dominated irrespective of time series length, while for large size of outliers, irrespective of time series length, gjrGARCH dominated. The study further leveled that in the presence of additive outliers on time series analysis, both RMSE and MAE increased as the time series length increased.

scholarly journals The Effect of High Positive Autocorrelation on the Performance of Garch Family Models

2018 ◽  
Author(s):  
Ngozi G. Emenogu ◽  
Monday Osagie Adenomon
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Time Series Data ◽  
Mean Squared Error ◽  
Financial Time Series ◽  
Absolute Error ◽  
Series Data ◽  
Asset Return ◽  
Financial Time ◽  
Auto Regressive

This study compared the performance of five Family Generalized Auto-Regressive Conditional Heteroscedastic (fGARCH) models (sGARCH, gjrGARCH, iGARCH, TGARCH and NGARCH) in the presence of high positive autocorrelation. To achieve this, financial time series was simulated with autocorrelated coefficients as ρ = (0.8, 0.85, 0.9, 0.95, 0.99), at different time series lengths (as 250, 500, 750, 1000, 1250, 1500) and each trial was repeated 1000 times carried out in R environment using rugarch package. And the performance of the preferred model was judged using Root Mean Squared Error (RMSE) and Mean Absolute Error (MAE). Results from the simulation revealed that these GARCH models performances varies with the different autocorrelation values and at different time series lengths. But in the overall, NGARCH model dominates with 62.5% and 59.3% using RMSE and MAE respectively. We therefore recommended that investors, financial analysts and researchers interested in stock prices and asset return should adapt NGARCH model when there is high positive autocorrelation in the financial time series data.

scholarly journals Detecting Predictable Segments of Chaotic Financial Time Series via Neural Network

Electronics ◽  
2020 ◽  
Vol 9 (5) ◽  
pp. 823
Author(s):  
Tianle Zhou ◽  
Chaoyi Chu ◽  
Chaobin Xu ◽  
Weihao Liu ◽  
Hao Yu
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Phase Space ◽  
Financial Market ◽  
Financial Time Series ◽  
Influential Factors ◽  
Series Data ◽  
Phase Point ◽  
Price Fluctuations ◽  
Financial Time

In this study, a new idea is proposed to analyze the financial market and detect price fluctuations, by integrating the technology of PSR (phase space reconstruction) and SOM (self organizing maps) neural network algorithms. The prediction of price and index in the financial market has always been a challenging and significant subject in time-series studies, and the prediction accuracy or the sensitivity of timely warning price fluctuations plays an important role in improving returns and avoiding risks for investors. However, it is the high volatility and chaotic dynamics of financial time series that constitute the most significantly influential factors affecting the prediction effect. As a solution, the time series is first projected into a phase space by PSR, and the phase tracks are then sliced into several parts. SOM neural network is used to cluster the phase track parts and extract the linear components in each embedded dimension. After that, LSTM (long short-term memory) is used to test the results of clustering. When there are multiple linear components in the m-dimension phase point, the superposition of these linear components still remains the linear property, and they exhibit order and periodicity in phase space, thereby providing a possibility for time series prediction. In this study, the Dow Jones index, Nikkei index, China growth enterprise market index and Chinese gold price are tested to determine the validity of the model. To summarize, the model has proven itself able to mark the unpredictable time series area and evaluate the unpredictable risk by using 1-dimension time series data.

scholarly journals Selecting between causal and noncausal models with quantile autoregressions

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Alain Hecq ◽  
Li Sun
Keyword(s):  
Time Series ◽  
Maximum Likelihood ◽  
Latin American ◽  
Financial Time Series ◽  
Selection Criterion ◽  
Likelihood Methods ◽  
Approximate Maximum Likelihood ◽  
Financial Time ◽  
Maximum Likelihood Methods ◽  
Latin American Countries

AbstractWe propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the i.i.d. case with regularly varying distributed innovations in QAR. This new modelling perspective is appealing for investigating the presence of bubbles in economic and financial time series, and is an alternative to approximate maximum likelihood methods. We illustrate our analysis using hyperinflation episodes of Latin American countries.

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