Nonlinearity, volatility and fractional integration in daily oil prices: Smooth transition autoregressive ST-FI(AP)GARCH models
Küçük Resim Yok
Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Institute foe Economic Forecasting
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR nonlinearity. The paper further investigates the models under their fractional integration and asymmetric power variants. The STAR-based models are LSTAR-LST-GARCH, LSTAR-LST-FIGARCH, LSTAR-LST-FIPGARCH and LSTAR-LST-FIAPGARCH models, which may be easily applied to model and forecast various financial time series. In the empirical section, an application is provided to model the daily returns in WTI crude oil prices considering the regime shifts the crude oil prices were subject to during history. Models are evaluated in terms of their out-of-sample forecasting capabilities with equal forecast accuracy tests and also in terms of various error criteria. The results suggest that volatility clustering, asymmetry and nonlinearity characteristics are modeled more efficiently as compared to their single regime variants, such as the GARCH, FIGARCH and FIAPGARCH models. Further, the out-of-sample results suggest that the LSTAR-LST-FIAPGARCH model provides the best forecasting accuracy in terms of RMSE and MSE error criteria. © 2014 Institute foe Economic Forecasting. All rights reserved.
Açıklama
Anahtar Kelimeler
LSTAR-LST-FIGARCH and LSTAR-LST-FIAPGARCH models, LSTAR-LST-GARCH, Oil prices, Volatility
Kaynak
Romanian Journal of Economic Forecasting
WoS Q Değeri
Scopus Q Değeri
Q3
Cilt
17
Sayı
3
