Publicação
An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components
| Resumo: | A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of Rodríguez (N Am J Econ Financ 42:393–420, 2017) but using more countries and working with squared returns in the forecasting exercise. The estimation results show: (i) existence of RLS; (ii) measurement errors except in Chile and Colombia. Regarding the fractional parameter, the estimates are quite small indicating the possible absence of long memory with possible exceptions of Chile and Colombia. The forecast exercise using the 10% MCS of Hansen et al. (Econometrica 79:453–497, 2011) and the ratios of MSFE indicate absence of the RLS-ARFIMA models while RLS-ARMA models are selected. In general, the results of the estimations and forecasts indicate probable absence of long memory or its small magnitude, which would makes this characteristic not only unnecessary but also irrelevant to capture the variations of the low frequencies of the series. |
|---|---|
| Autores principais: | Rodríguez, Gabriel |
| Outros Autores: | Ojeda Cunya, Junior A.; Gonzáles Tanaka, José Carlos |
| Assunto: | Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1866810415796715520 |
|---|---|
| author | Rodríguez, Gabriel |
| author2 | Ojeda Cunya, Junior A. Gonzáles Tanaka, José Carlos |
| author2_role | author author |
| author_facet | Rodríguez, Gabriel Ojeda Cunya, Junior A. Gonzáles Tanaka, José Carlos |
| author_role | author |
| contributor_name_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Rodríguez, Gabriel\"},{\"Person.name\":\"Ojeda Cunya, Junior A.\"},{\"Person.name\":\"Gonzáles Tanaka, José Carlos\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Rodríguez, Gabriel Ojeda Cunya, Junior A. Gonzáles Tanaka, José Carlos |
| datacite.date.Accepted.fl_str_mv | 2019-06-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2019-06-03T09:11:50Z |
| datacite.date.embargoed.fl_str_mv | 2019-06-03T09:11:50Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| datacite.titles.title.fl_str_mv | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| dc.contributor.none.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Rodríguez, Gabriel Ojeda Cunya, Junior A. Gonzáles Tanaka, José Carlos |
| dc.date.Accepted.fl_str_mv | 2019-06-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2019-06-03T09:11:50Z |
| dc.date.embargoed.fl_str_mv | 2019-06-03T09:11:50Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/18006 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Springer |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| dc.title.fl_str_mv | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of Rodríguez (N Am J Econ Financ 42:393–420, 2017) but using more countries and working with squared returns in the forecasting exercise. The estimation results show: (i) existence of RLS; (ii) measurement errors except in Chile and Colombia. Regarding the fractional parameter, the estimates are quite small indicating the possible absence of long memory with possible exceptions of Chile and Colombia. The forecast exercise using the 10% MCS of Hansen et al. (Econometrica 79:453–497, 2011) and the ratios of MSFE indicate absence of the RLS-ARFIMA models while RLS-ARMA models are selected. In general, the results of the estimations and forecasts indicate probable absence of long memory or its small magnitude, which would makes this characteristic not only unnecessary but also irrelevant to capture the variations of the low frequencies of the series. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/fa8164a9-039b-41f4-a04d-17bc454f3802/download |
| id | ul_3aedd9b7ed32b154ec12ecbf4f75fa00 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/18006 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/18006 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Rodríguez, Gabriel Ojeda Cunya, Junior A. Gonzáles Tanaka, José Carlos |
| publishDate | 2019 |
| publisher.none.fl_str_mv | Springer |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engSpringerpt_PTA set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of Rodríguez (N Am J Econ Financ 42:393–420, 2017) but using more countries and working with squared returns in the forecasting exercise. The estimation results show: (i) existence of RLS; (ii) measurement errors except in Chile and Colombia. Regarding the fractional parameter, the estimates are quite small indicating the possible absence of long memory with possible exceptions of Chile and Colombia. The forecast exercise using the 10% MCS of Hansen et al. (Econometrica 79:453–497, 2011) and the ratios of MSFE indicate absence of the RLS-ARFIMA models while RLS-ARMA models are selected. In general, the results of the estimations and forecasts indicate probable absence of long memory or its small magnitude, which would makes this characteristic not only unnecessary but also irrelevant to capture the variations of the low frequencies of the series.application/pdfpt_PTAn empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts componentsRodríguez, GabrielOjeda Cunya, Junior A.Gonzáles Tanaka, José CarlosHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.ptISSNIsPartOf1617-982XISSNIsPartOf1617-9838 (online)DOIIsPartOf10.1007/s10258-019-00156-12019-06-03T09:11:50Z2019-062019-06-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/18006http://purl.org/coar/access_right/c_16ecrestricted accessRandom Level ShiftsLong memoryLatin American Forex MarketsVolatilityTime Varying ProbabilityMean reversionARFIMA modelsGARCH modelFIGARCH model776160 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/fa8164a9-039b-41f4-a04d-17bc454f3802/downloadPortuguese Economic Journal182107123Lisboa |
| spellingShingle | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components Rodríguez, Gabriel Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| status | SINGLETON |
| subject.fl_str_mv | Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| title | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| title_full | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| title_fullStr | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| title_full_unstemmed | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| title_short | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| title_sort | An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components |
| topic | Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| topic_facet | Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model |
| url | http://hdl.handle.net/10400.5/18006 |
| visible | 1 |