Threshold arch models and asymmetries in volatility

AbstractStrong consistency and (weak) distributional convergence to highly non-Gaussian limits are established for closed-form, two stage least squares (TSLS) estimators of linear and threshold ARCH (p) models, with special attention paid to the ARCH (1) and threshold ARCH (1) cases. Conditions supporting these results include (relatively) mild moment existence criteria that enjoy empirical support. These conditions are not shared by competing estimators like OLS. Identification of the TSLS estimators depends on asymmetry, either in the model’s rescaled errors or in the conditional variance function. Monte Carlo studies reveal TSLS estimation can sizably outperform quasi maximum likelihood (QML) in small samples and even best recently proposed two-step estimators specifically designed to enhance the efficiency of QML.

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Tail Risk in Pension Funds: An Analysis Using ARCH Models and Bilinear Processes

CFA Digest ◽

10.2469/dig.v45.n1.5 ◽

2015 ◽

Vol 45 (1) ◽

Author(s):

Michal Szudejko

Keyword(s):

Pension Funds ◽

Tail Risk ◽

Arch Models

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Simple Estimators for ARCH Models: Supplemental Appendix

SSRN Electronic Journal ◽

10.2139/ssrn.2859625 ◽

2016 ◽

Author(s):

Todd Prono

Keyword(s):

Arch Models ◽

Supplemental Appendix

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On the Independence of the Standardized One-Step-Ahead Prediction Errors in ARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.816584 ◽

2005 ◽

Cited By ~ 1

Author(s):

Stavros Antonios Degiannakis ◽

Evdokia Xekalaki

Keyword(s):

Prediction Errors ◽

Arch Models ◽

One Step

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The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation

Sustainability ◽

10.3390/su13105383 ◽

2021 ◽

Vol 13 (10) ◽

pp. 5383

Author(s):

Nikolaos A. Kyriazis

Keyword(s):

Economic Policy ◽

Empirical Investigation ◽

Econometric Analysis ◽

Policy Uncertainty ◽

Negative Effects ◽

Economic Policy Uncertainty ◽

Strongly Connected ◽

Threshold Arch ◽

Best Fit ◽

Digital Assets

This paper sets out to explore the nexus between economic policy uncertainty (EPU) and digital currencies. An integrated survey takes place based on eleven primary studies. Furthermore, an econometric analysis is conducted by the threshold ARCH, simple asymmetric ARCH and non-linear ARCH specifications covering the bull and the bear markets as well as the highly volatile period up to the present. Threshold ARCH is found to provide the best fit for estimations. Outcomes reveal that Bitcoin is strongly connected with EPU while Ethereum and Litecoin are not but are strongly linked with Bitcoin performance. Moreover, weak negative effects of the VIX on both cryptocurrencies are detected while oil exerts weak positive impacts on Ethereum. Overall, Ethereum and Litecoin could serve for diversifiers against Bitcoin or hedgers against traditional assets during highly stressed periods with the advantage of not being affected by economic policy uncertainty news.

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Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages

Journal of Econometric Methods ◽

10.1515/jem-2020-0004 ◽

2020 ◽

Vol 0 (0) ◽

Author(s):

Hiroyuki Kawakatsu

Keyword(s):

Moving Average ◽

Curse Of Dimensionality ◽

Moving Averages ◽

Conditional Covariance ◽

Arch Models ◽

Empirical Application ◽

Proposed Model ◽

Out Of Sample ◽

Weight Model ◽

Weighted Moving Average

AbstractThis paper considers a class of multivariate ARCH models with scalar weights. A new specification with hyperbolic weighted moving average (HWMA) is proposed as an analogue of the EWMA model. Despite the restrictive dynamics of a scalar weight model, the proposed model has a number of advantages that can deal with the curse of dimensionality. The empirical application illustrates that the (pseudo) out-of-sample multistep forecasts can be surprisingly more accurate than those from the DCC model.

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