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Forecasting metals prices with regime swithching GARCH models.

Tang, Sheung Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 76-82). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 3 --- Models --- p.20 / Chapter 3.1 --- Single Regime GARCH Models --- p.20 / Chapter 3.1.1 --- "GARCH (1,1) Model" --- p.22 / Chapter 3.1.2 --- "EGARCH (1, 1) Model" --- p.24 / Chapter 3.1.3 --- GARCH-M (1,1) Model --- p.25 / Chapter 3.2 --- Markov Regime Switching GARCH Model --- p.26 / Chapter 4 --- Data and Descriptive Analysis --- p.37 / Chapter 4.1 --- Data --- p.37 / Chapter 4.1.1 --- Unit Root and Stationary Tests --- p.39 / Chapter 4.1.2 --- Tests for Conditional Heteroskedasticity --- p.40 / Chapter 5 --- Empirical Results and Discussion --- p.43 / Chapter 5.1 --- In-Sample Statistics --- p.44 / Chapter 5.2 --- Forecasting Performance --- p.54 / Chapter 5.2.1 --- Results of Statistical Loss Functions --- p.55 / Chapter 5.3 --- Tests of Equal Predictive Ability --- p.62 / Chapter 5.3.1 --- Diebold-Mariano Test --- p.62 / Chapter 5.3.2 --- Results of DM Test --- p.64 / Chapter 6 --- Conclusion --- p.68 / A Forecasts from the Models --- p.72 / Bibliography --- p.76

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327137
Date January 2010
ContributorsTang, Sheung Yin., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, ix, 82 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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