MCMC methods for comparing stochastic volatility and GARCH models

Article Abstract:

A Markov Ch ain Monte Carlo method for estimating volatility is presented. The method compares volatility models like GARCH and stochastic volatility models. The method is used for predictions on S&P500 daily return index and US/Canadian dollar exchange rates.

Australia, Usage, Markov processes, Stochastic processes, Monte Carlo method, Monte Carlo methods

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Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries

Article Abstract:

The increase in volatility of stock is attributed to drop in value of stock thereby making stock riskier. The relative predictive accuracy of different GARCH models is compared to examine the impact of asymmetries on the forecast performance of GARCH models.

Methods, Forecasting

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Predicting returns in U.S. financial sector indices

Article Abstract:

Of three models, an error-correctioh model proved to be the most accurate in forecasting the relationship of stock indexes to interest rates and foreign exchange rates.

Finance

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