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Forecasting Volatility for commodity futures using fat-tailed model

This paper considers the high-moments and uses the skew generalized error distribution (SGED) to explain the financial market data which have leptokurtic, fat-tailed and skewness. And we compare performance with the commonly used symmetrical distribution model such as normal distribution, student¡¦s t distribution and generalized error distribution (GED). To research when returns of asset have leptokurtic and fat-tailed phenomena, what model has better predictive power for volatility forecasting?
The empirical procedure is as follows: First step, make the descriptive statistics of raw data, and know that the GARCH effect should be considered, followed by selecting the optimal order of ARMA-GARCH. The second steps, make the parameter estimations of full-sample, and pick up the best model. Finally, forecast out-of-sample volatility for 1-day, 2-day, 5-day, 10-day and 20-day respectively, not only use different loss function to measure the performance, but also use DM test to compare the relative predictive power of the models under the different error distribution.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0708111-175020
Date08 July 2011
CreatorsKe, Pei-ru
ContributorsMing-chi Chen, Chien-chiang lee, Jeng-tsung Huang, Chou-wen Wang
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0708111-175020
Rightsnot_available, Copyright information available at source archive

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