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Stochastic Volatility Models With Arma Innovations: An Application To G7 Inflation Forecasts, Bo Zhang, Joshua Chan, Jamie L. Cross
Stochastic Volatility Models With Arma Innovations: An Application To G7 Inflation Forecasts, Bo Zhang, Joshua Chan, Jamie L. Cross
Faculty of Business - Papers (Archive)
We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial dependence which renders standard Kalman filter techniques not directly applicable. To overcome this hurdle we develop an efficient posterior simulator that builds on recently developed precision based algorithms. We assess the usefulness of these new models in an inflation forecasting exercise across all G7 economies. We find that the new models generally provide competitive point and density forecasts compared …
Iron Ore Spot Price Volatility And Change In Forward Pricing Mechanism, Yiqun Ma
Iron Ore Spot Price Volatility And Change In Forward Pricing Mechanism, Yiqun Ma
Faculty of Business - Papers (Archive)
To examine the impact of the change in forward pricing mechanism on the volatility of iron ore spot prices, we model the iron ore daily price of Platts IODEX from October 7, 2008 to September 21, 2012. The identified iron ore spot price tends to be less volatile after the introduction of quarterly pricing mechanism. Our main approaches are as follows: (i) to decompose the spot price of Platts IODEX into two subsamples and relate the result of the structural break to the date of the switch in the iron ore forward pricing mechanism; (ii) to apply the EGARCH (1, …
The Effects Of Financial Crises On International Stock Market Volatility Transmission, Indika Karunanayake Athukoralalage, Abbas Valadkhani, Martin O'Brien
The Effects Of Financial Crises On International Stock Market Volatility Transmission, Indika Karunanayake Athukoralalage, Abbas Valadkhani, Martin O'Brien
Faculty of Business - Papers (Archive)
With the integration of national economies through international trade and finance, the exploration of financial market interdependency has become profoundly important among market participants and scholars. Focusing on the Asian and global financial crises of 1997-98 and 2008-09 for Australia, Singapore, the UK, and the US, this paper examines the nature of such an interaction between stock market returns and their volatility. We use a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model and weekly data (January 1992-June 2009). Based on the results obtained from the mean return equations, we could not find any significant impact on returns arising from the …