scholarly journals Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns

2021 ◽  
Vol 26 (3) ◽  
pp. 49
Author(s):  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Forecast Accuracy ◽  
Systematic Effect ◽  
Derivative Securities ◽  
Realized Variance ◽  
International Spillovers ◽  
Out Of Sample ◽  
Related Derivative ◽  
Using Data ◽  
Lasso Estimator

Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. We go beyond earlier research in that we do not focus exclusively on U.S.-based measures of uncertainty, and in that we account for international spillovers of uncertainty. Our results, based on the Lasso estimator, show that, across the various model configurations that we study, uncertainty has a more systematic effect on out-of-sample forecast accuracy than spillovers. Our results have important implications for investors in terms of, for example, pricing of related derivative securities and the development of portfolio-allocation strategies.

scholarly journals Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers

Energies ◽  
2021 ◽  
Vol 14 (14) ◽  
pp. 4173
Author(s):  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Crude Oil ◽  
Predictive Value ◽  
Realized Variance ◽  
International Spillovers ◽  
Forecasting Models ◽  
West Texas ◽  
Out Of Sample ◽  
One Year ◽  
Lasso Estimator

We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from 1996Q1 to 2020Q4. Using the Lasso estimator, we found evidence that uncertainty and international spillovers had predictive value for the realized variance at intermediate (two quarters) and long (one year) forecasting horizons in several of the forecasting models that we studied. This result holds also for upside (good) and downside (bad) variance, and irrespective of whether we used a recursive or a rolling estimation window. Our results have important implications for investors and policymakers.

scholarly journals Mathematical Development and Evaluation of Forecasting Models for Accuracy of Inflation in Developing Countries: A Case of Vietnam

2015 ◽  
Vol 2015 ◽  
pp. 1-14 ◽  
Author(s):  
Nhu-Ty Nguyen ◽  
Thanh-Tuyen Tran
Keyword(s):  
Raw Materials ◽  
Arima Model ◽  
Consumer Price Index ◽  
Forecast Accuracy ◽  
Complex Problem ◽  
Forecast Performance ◽  
Forecasting Models ◽  
Out Of Sample ◽  
Forecasting Inflation ◽  
Using Data

Inflation is a key element of a national economy, and it is also a prominent and important issue influencing the whole economy in terms of marketing. This is a complex problem requiring a large investment of time and wisdom to attain positive results. Thus, appropriate tools for forecasting inflation variables are crucial significant for policy making. In this study, both clarified value calculation and use of a genetic algorithm to find the optimal parameters are adopted simultaneously to construct improved models: ARIMA, GM(1,1), Verhulst, DGM(1,1), and DGM(2,1) by using data of Vietnamese inflation output from January 2005 to November 2013. The MAPE, MSE, RMSE, and MAD are four criteria with which the various forecasting models results are compared. Moreover, to see whether differences exist, Friedman and Wilcoxon tests are applied. Both in-sample and out-of-sample forecast performance results show that the ARIMA model has highly accurate forecasting in Raw Materials Price (RMP) and Gold Price (GP), whereas, the calculated results of GM(1,1) and DGM(1,1) are suitable to forecast Consumer Price Index (CPI). Therefore, the ARIMA, GM(1,1), and DGM(1,1) can handle the forecast accuracy of the issue, and they are suitable in modeling and forecasting of inflation in the case of Vietnam.

scholarly journals A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Energies ◽  
2021 ◽  
Vol 14 (20) ◽  
pp. 6775
Author(s):  
Rangan Gupta ◽  
Christian Pierdzioch ◽  
Wing-Keung Wong
Keyword(s):  
Real Time ◽  
Predictive Value ◽  
Oil Price ◽  
Realized Variance ◽  
Monthly Data ◽  
Significant Evidence ◽  
Out Of Sample ◽  
Price Movements

We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (RV) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 and 1968:01–2021:03, respectively. Using the two ratios, we find statistically significant evidence of in-sample predictability for increases in RV for both ratios. This finding also translates into statistically significant out-of-sample forecasting gains derived from these two ratios for RV. Given the importance of real-time forecasts of the volatility of oil-price movements, our results have important implications for investors and policymakers.

The role of model bias in predicting volatility: evidence from the US equity markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yan Li ◽  
Lian Luo ◽  
Chao Liang ◽  
Feng Ma
Keyword(s):  
Prediction Model ◽  
Forecast Accuracy ◽  
Realized Volatility ◽  
Model Bias ◽  
Content Type ◽  
Dow Jones Industrial Average ◽  
The Us ◽  
Out Of Sample ◽  
Family Models

PurposeThe purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility.Design/methodology/approachUnder the heterogeneous autoregressive realized volatility (HAR-RV) framework, we analyze the predictive power of out-of-sample model bias for the realized volatility (RV) of the Dow Jones Industrial Average (DJI) and the S&P 500 (SPX) indices from in-sample and out-of-sample perspectives respectively.FindingsThe in-sample results reveal that the prediction model including the model bias can obtain bigger R2, and the out-of-sample empirical results based on several evaluation methods suggest that the prediction model incorporating model bias can improve forecast accuracy for the RV of the DJI and the SPX indices. That is, model bias can enhance the predictability of original HAR family models.Originality/valueThe author introduce out-of-sample model bias into HAR family models to enhance model capability in predicting realized volatility.

INOVASI PEMBELAJARAN AKIDAH AKHLAK MENGGUNAKAN METODE ROLE PLAY DALAM MENINGKATKAN PRESTASI BELAJAR SISWA

2018 ◽  
Vol 2 (1) ◽  
pp. 52-63
Author(s):  
Ansori Ansori
Keyword(s):  
Data Reduction ◽  
Role Play ◽  
Learning Goals ◽  
New Paradigm ◽  
Learning Materials ◽  
Analysis Technique ◽  
Flexible Schedule ◽  
Using Data ◽  
Real Action

The use of various methods will greatly help students in achieving learning goals. As role play method is one way mastery of learning materials through the development of imagination and appreciation of students on learning materials. Data collection techniques in this study are observation, interviews, and documentation. To analyze the data in this research using data analysis technique of Miles and Huberman model that is data reduction (Data Reduction), data presentation (Data Display) and conclusion (Conclution Drawing / verification) The findings in this research is innovation of role play method can change paradigm to the new paradigm so that the role of the teacher is more as a facilitator, counselor, consultant, and comrade study Flexible schedule, open as needed Learning directed by students themselves Problem-based, project, real world, real action, and reflection Design and investigation. Computers as tools, and dynamic media presentations.

The role of corporate investment in social responsible practices in the promotion of employees’ organizational citizenship behaviour

2014 ◽  
Author(s):  
Ana Patrícia Duarte ◽  
José Gonçalves das Neves
Keyword(s):  
Job Satisfaction ◽  
Organizational Citizenship ◽  
Economic Uncertainty ◽  
Socially Responsible ◽  
Organizational Survival ◽  
Current Scenario ◽  
Reducing Costs ◽  
Using Data ◽  
Airline Company

In the current scenario of economic uncertainty, where many organizations struggle harder for reducing costs while improving their competitiveness, employees’ organizational citizenship behaviours might have an enhanced importance for organizational survival and success. A model proposing that corporate engagement in internal socially responsible practices enhances employees’ job satisfaction and consequently increases employees’ extra-role behaviours was tested. Using data obtained from a sample of employees from an airline company (n=133), the model was examined and supported. We have therefore concluded that organizations may foster employees’ extra-role behaviours by investing in corporate socially responsible practices that signal corporate concern with employees and promote job satisfaction.

Peranan Ketua Pengurus dan Manajer Dalam Penyusunan dan Penerapan Laporan Keuangan Berbasis SAK ETAP Pada Koperasi di Kota Palembang

2019 ◽  
Vol 14 (2) ◽  
pp. 119
Author(s):  
Riza Syahputera ◽  
Martha Rianty
Keyword(s):  
Data Analysis ◽  
Sampling Technique ◽  
Financial Statements ◽  
Significant Positive Effect ◽  
Analysis Technique ◽  
Regression Test ◽  
Using Data ◽  
The City ◽  
Positive Effect

AbstractThis study aims to determine the effect of the role of the Chairperson and Cooperative Manager in the preparation and application of Financial Statements based on SAK ETAP in cooperatives in the city of Palembang. This research is a quantitative study using data obtained from questionnaires and measured using a Likert scale. The sampling technique used is purposive sampling. The sample used in this study was the Chairperson of the cooperative and the manager of the cooperative in the city of Palembang. The cooperatives studied were 203 cooperatives. The data analysis technique used is multiple linear regression test. The results showed that the role of cooperative leaders and managers had a significant positive effect on the preparation and application of SAK ETAP-based financial statements.Keywords : chairman, manager, SAK ETAP, cooperative

Influence of Confucian culture on entrepreneurial decision making using data from China's floating population

2020 ◽  
Vol 48 (7) ◽  
pp. 1-12
Author(s):  
Ran Xiong ◽  
Ping Wei
Keyword(s):  
Decision Making ◽  
Floating Population ◽  
Positive Role ◽  
Confucian Culture ◽  
Chinese Nation ◽  
Using Data ◽  
Entrepreneurial Decision ◽  
And Behavior ◽  
The Relationship

Confucian culture has had a deep-rooted influence on Chinese thinking and behavior for more than 2,000 years. With a manually created Confucian culture database and the 2017 China floating population survey, we used empirical analysis to test the relationship between Confucian culture and individual entrepreneurial choice using data obtained from China's floating population. After using the presence and number of Confucian schools and temples, and of chaste women as instrumental variables to counteract problems of endogeneity, we found that Confucian culture had a significant role in promoting individuals' entrepreneurial decision making among China's floating population. The results showed that, compared with those from areas of China not strongly influenced by Confucian culture, individuals from areas that are strongly influenced by Confucian culture were more likely to choose entrepreneurship as their occupation choice. Our findings reveal cultural factors that affect individual entrepreneurial behavior, and also illustrate the positive role of Confucianism as a representative of the typical cultures of the Chinese nation in the 21st century.

CEO and CFO Equity Incentives and the Pricing of Audit Services

2013 ◽  
Vol 33 (2) ◽  
pp. 1-25 ◽  
Author(s):  
B. Anthony Billings ◽  
Xinghua Gao ◽  
Yonghong Jia
Keyword(s):  
Positive Association ◽  
Audit Fees ◽  
Internal Controls ◽  
Audit Risk ◽  
Pricing Decisions ◽  
Equity Incentives ◽  
Accounting Scandals ◽  
Using Data ◽  
Distinctive Role

SUMMARY: The alleged perverse role of managerial incentives in accounting scandals, and the distinctive role of auditors in identifying and intervening in attempted earnings manipulation, highlight the importance of explicitly considering executive incentive plans by auditors in the auditing process. By empirically testing auditors' responses to CEO/CFO equity incentives in planning and pricing decisions using data from 2002 through 2009, we document compelling evidence that CFO equity incentives are positively associated with audit fees and CEO equity incentives are not statistically related to audit fees, suggesting that auditors perceive heightened audit risk associated with CFO equity incentives. Our further analyses reveal that the positive association between CFO equity incentives and audit fees is more pronounced in firms with weak internal controls, indicating heightened risk associated with CFO equity incentives in this setting perceived by auditors. JEL Classifications: G30, G34, M42, M52.

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