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The Importance of t...
The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach
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- Asgharian, Hossein (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM,Department of Economics, Knut Wicksell Center for Financial Studies, Lund University, Sweden
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- Hou, Ai Jun (författare)
- Department of Business and Economics, Southern Denmark University, Odense, Denmark
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- Javed, Farrukh (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM,Department of Statistics, Lund University, Sweden
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(creator_code:org_t)
- 2013-07-22
- 2013
- Engelska.
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Ingår i: Journal of Forecasting. - : Wiley. - 1099-131X .- 0277-6693. ; 32:7, s. 600-612
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Abstract
Ämnesord
Stäng
- This paper applies the GARCH-MIDAS (mixed data sampling) model to examine whether information contained in macroeconomic variables can help to predict short-term and long-term components of the return variance. A principal component analysis is used to incorporate the information contained in different variables. Our results show that including low-frequency macroeconomic information in the GARCH-MIDAS model improves the prediction ability of the model, particularly for the long-term variance component. Moreover, the GARCH-MIDAS model augmented with the first principal component outperforms all other specifications, indicating that the constructed principal component can be considered as a good proxy of the business cycle. Copyright (c) 2013 John Wiley & Sons, Ltd.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Mixed data sampling
- long-term variance component
- macroeconomic
- variables
- principal component
- variance prediction
- Mixed data sampling
Publikations- och innehållstyp
- art (ämneskategori)
- ref (ämneskategori)
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