Online Testing of Switching Volatility

• Autorzy: David Bock
• Języki publikacji: EN

Abstrakty

EN

Chapter 6 presents the methods for online detection of a change in the unconditional volatility. A test based on a moving sum is proposed and evaluated. The test has a controlled asymptotic size, i.e. the false alarm probability during an infinitely long monitoring period is fixed. The effects of autoregression and conditional heteroscedasticity have been also addressed and a test that allows for heteroscedasticity has been proposed. The testing procedures are exemplified with the Hang Seng Index to see whether a shift during the Asian crises period could have been detected online (fragment of text)

Słowa kluczowe

EN

Stochastic Volatility Processes; Autoregression models; Financial markets

PL

Procesy zmienności stochastycznej; Modele autoregresji; Rynki finansowe

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 99--120

Twórcy

autor

David Bock

• Göteborg University

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