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Journals / Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi / 2007 / Cilt: 8 - Sayı: 2

Forecasting Performance of Volatility Models: Comparison of Arch, Garch and Swarch

Volatilite Modellerinin Öngörü Performansları: Arch,Garch ve Smarch Karşılaştırması

Cüneyt AKAR
Pages
201–217
Publication Date
2022-10-11
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that the SWARCH model has lower persistence than ARCH and GARCH models.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the volatiliy forecasting performances of alternative volatility models are compared.
📊
Key Findings & Data:Istanbul Stock Exchange, ISE100 Index, weekly closing figures are utilized to estimate return volatility using ARCH, GARCH and SWARCH models.
💡
Conclusion & Impact:The results show that the SWARCH model has lower persistence than ARCH and GARCH models.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

In this study, the volatiliy forecasting performances of alternative volatility models are compared. Istanbul Stock Exchange, ISE100 Index, weekly closing figures are utilized to estimate return volatility using ARCH, GARCH and SWARCH models. The volatility forecasts based on the estimated models are compared with realized volatility and forecasting performances are evaluated employing assorted error statistics. The results show that the SWARCH model has lower persistence than ARCH and GARCH models. The empirical results also indicate that the SWARCH model appears to outperform the competing ARCH and GARCH models in forecasting volatility.

Özet

Bu çalışmada alternatif volatilite modellerinin öngörü performansları karşılaştırılmıştır. İstanbul Menkul Kıymetler Borsası İMKB100 endeksi haftalık kapanış verileri kullanılarak getiri volatilitesi ARCH, GARCH ve SWARCH yöntemleriyle tahmin edilmiş ve bu tahminlere dayalı olarak öngörüler yapılmıştır. Öngörü performansları gerçekleşen volatilite baz alınarak çeşitli hata istatistikleriyle değerlendirilmiştir. Çalışma sonuçları SWARCH modellerinin ARCH ve GARCH modellerine göre daha az ısrarcılığa sahip olduğunu göstermektedir. Elde edilen sonuçlar dinamik ve kayan pencere yaklaşımlarına göre yapılan öngörüler açısından SWARCH modellerinin daha iyi sonuçlar verdiğini ortaya koymaktadır.

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Cite This Article

AKAR, C. (2022). Forecasting Performance of Volatility Models: Comparison of Arch, Garch and Swarch. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, Cilt: 8 - Sayı: 2, 201–217. https://ajindex.com/articles/490744

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