Forecasting volatility in GARCH models with additive outliers

Catalán, Beatriz; Trívez, F. Javier

doi:10.1080/14697680601116872

Cited by 17 publications

(8 citation statements)

References 20 publications

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“…However, one of the most well-known properties in the distributions of assets returns is precisely the non-normality of the return series and the fact that they present a greater number of extreme values than those observed in series with Gaussian distributions. 8 Both daily series are leptokurtic and present negative asymmetry. The Jarque-Bera statistic rejects the null hypothesis of normality for both series at the 5% level.…”

Section: A Data Distributionmentioning

confidence: 99%

“…To check this fact, we test the distribution symmetry by applying the method proposed by [28]. The asymmetry test shows a statistic of 2.9854 (p-value 0.0028) for the future with maturity in 2008 8 In [8], some reasons concerning the importance of extreme values are presented. 9 Future 2008: Skewness (-1.3166), kurtosis (17.9459) and Jarque-Bera test (8,982.25, p-value 0.0000).…”

Section: A Data Distributionmentioning

confidence: 99%

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Is the EUA a new asset class?

Medina

Pardo

2011

2011 8th International Conference on the European Energy Market (EEM)

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The listing of a new asset requires the knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, we study the stylized facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in commodity futures. However, other statistical properties typical of financial assets, such as negative asymmetry and absence of an inflation hedge, are also detected. Therefore, our results indicate, surprisingly, that EUAs do not behave like common commodity futures.

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Section: A Data Distributionmentioning

confidence: 99%

Section: A Data Distributionmentioning

confidence: 99%

Is the EUA a new asset class?

Medina

Pardo

2011

2011 8th International Conference on the European Energy Market (EEM)

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“…Assuming that the underlying process is a GARCH (1,1) process, 12 without considering the presence of LS, the estimated model by maximum likelihood is as follows:…”

Section: Estimation Of the Model And Detection Of Lssmentioning

confidence: 99%

“…There are other works that study the problems of outliers in ARCH models but, they are only centred on additive outliers. We can cite some of them [3,4,7,[11][12][13][18][19][20][21][22]24,25,27,29,30,32,[36][37][38]. 3.…”

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confidence: 99%

Detecting level shifts in ARMA-GARCH (1,1) Models

Trívez

Catalán

2009

Journal of Applied Statistics

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The purpose of this article is to present a new method to detect level shifts in the context of conditional heteroscedastic models. First, we define precisely what type of outlier we are referring to, a concept that has been scarcely touched in the field of GARCH (1,1) models, and then we go on to present our methodology based on the nature of the Lagrange multiplier tests. The validity and efficiency of the proposed procedure are demonstrated through different simulation experiments. To conclude, we present a practical application of the method to the time series of returns of US short-term interest rates.level outliers, volatility outliers, level shifts, GARCH models, LM tests,

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“…The sample period goes from 22 April 2005 to 15 December 2008 for the first contract, from 22 April 2005 to 14 December 2009 for the second one, and from 22 April 2005 to 20 December 2010 for the last one.yInCatala´n and Trı´vez (2007), some reasons concerning the importance of extreme values are presented.…”

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confidence: 99%

Is the EUA a new asset class?

Medina

Pardo

2013

Quantitative Finance

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The listing of a new asset requires knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, the authors study the stylised facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive correlation with bonds, typical of commodity futures, are also detected. Therefore, our results indicate that EUAs returns do not behave like common commodity futures or financial assets, and point to the fact that EUAs are a new asset class.

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Forecasting volatility in GARCH models with additive outliers

Cited by 17 publications

References 20 publications

Is the EUA a new asset class?

Is the EUA a new asset class?

Detecting level shifts in ARMA-GARCH (1,1) Models

Is the EUA a new asset class?

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