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- handle: 10670/1.d8c4vw
- halshs: halshs-01244292
info:eu-repo/semantics/OpenAccess
Mots-clés
news impact curve calculus of variations wavelet theory ARCH Volatility modeling C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C02 - Mathematical Methods C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C14 - Semiparametric and Nonparametric Methods: General C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic AnalysisSujets proches
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Matthieu Garcin et al., « Non-parametric news impact curve: a variational approach », HAL-SHS : économie et finance, ID : 10670/1.d8c4vw
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Résumé
In this paper, we propose an innovative methodology for modelling the news impact curve. The news impact curve provides a non-linear relation between past returns and current volatility and thus enables to forecast volatility. Our news impact curve is the solution of a dynamic optimization problem based on variational calculus. Consequently, it is a non-parametric and smooth curve. To our knowledge, this is the first time that such a method is used for volatility modelling. Applications on simulated heteroskedastic processes as well as on financial data show a better accuracy in estimation and forecast for this approach than for standard parametric (symmetric or asymmetric ARCH) or non-parametric (Kernel-ARCH) econometric techniques.