تقرير
Network log-ARCH models for forecasting stock market volatility
| العنوان: | Network log-ARCH models for forecasting stock market volatility |
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| المؤلفون: | Mattera, Raffaele, Otto, Philipp |
| سنة النشر: | 2023 |
| المجموعة: | Quantitative Finance Statistics |
| مصطلحات موضوعية: | Statistics - Applications, Economics - Econometrics, Quantitative Finance - Statistical Finance |
| الوصف: | This paper presents a novel dynamic network autoregressive conditional heteroscedasticity (ARCH) model based on spatiotemporal ARCH models to forecast volatility in the US stock market. To improve the forecasting accuracy, the model integrates temporally lagged volatility information and information from adjacent nodes, which may instantaneously spill across the entire network. The model is also suitable for high-dimensional cases where multivariate ARCH models are typically no longer applicable. We adopt the theoretical foundations from spatiotemporal statistics and transfer the dynamic ARCH model for processes to networks. This new approach is compared with independent univariate log-ARCH models. We could quantify the improvements due to the instantaneous network ARCH effects, which are studied for the first time in this paper. The edges are determined based on various distance and correlation measures between the time series. The performances of the alternative networks' definitions are compared in terms of out-of-sample accuracy. Furthermore, we consider ensemble forecasts based on different network definitions. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2303.11064 |
| رقم الأكسشن: | edsarx.2303.11064 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |