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Improve the forecasting accuracy of a GARCH model using a decomposition method
No full textAbstract: In recent years, there has been a greater emphasis on the forecasting accuracy of heteroscedastic models. Instead of estimating the returns volatility using a generalised autoregressive conditional heteroscedastic model ( model), this study separates the returns internal components from the external trend first using a decomposition method called “external trend and internal components analysis method” (ETICA), then estimates the returns volatility using a . The study's goal is to determine whether this separation has an effect on the prediction accuracy of the volatility of S&P 500, NASDAQ and Dow Jones stock indices. To explore the ETICA method effect, the root mean squared error has been used to compare the prediction accuracy before and after decomposition. The findings show that on average, the RMSE results were found to be lower before decomposition which means that stock returns had a higher prediction accuracy.
Keywords: GARCH model, decomposition method, S&P 500, NASDAQ, Dow Jones, RMSE.
Title: Improve the forecasting accuracy of a GARCH model using a decomposition method
Author: Dioubi Fatene, Loudahi Lamia
International Journal of Mathematics and Physical Sciences Research
ISSN 2348-5736 (Online)
Vol. 10, Issue 2, October 2022 - March 2023
Page No: 57-74
Research Publish Journals
Website: www.researchpublish.com
Published Date: 17-February-2023
DOI: https://doi.org/10.5281/zenodo.7649004
Paper Download Link (Source)
https://www.researchpublish.com/papers/improve-the-forecasting-accuracy-of-a-garch-model-using-a-decomposition-methodInternational Journal of Mathematics and Physical Sciences Research, ISSN 2348-5736 (Online), Research Publish Journals, Website: www.researchpublish.co
Programmation mathématique stochastique et application
Get PDF68 f. : ill. ; 30 cm + ( CD-Rom )Notre travail se résume comme suit:
Dans le premier chapitre, nous avons défini et rappelé quelques notions sur les variables aléatoires (discrètes et continues) et leurs propriétés (la loi de distribution, la fonction de densité, fonction de répartition, espérance mathématique, variance, covariance , écart type, et la matrice de covariance ).
Ensuite le deuxième chapitre est réservé à la présentation de la programmation linéaire mono- objective et multi-objective, dans la première partie de ce chapitre on a traité le cas mono- objectif, et on a utilisé les méthodes du simplexe pour la résolution d'un problème de programmation linéaire, et on a terminé cette partie par un exemple. Dans la deuxième partie on a traité le cas multi-objectif, dont on a cité la dominance et l'efficacité d'une solution, la résolution par méthode du simplexe.
Le troisième chapitre est partagé en deux parties, la programmation linéaire stochastique mono objectif et la programmation linéaire stochastique multi-objectif .Dans la première partie on a défini un problème linéaire stochastique mono-objectif et on a cité deux approches ( Passive et active ) de résolution de ce dernier et quelques critères d'optimisation du
problème équivalent lorsque l'objectif est aléatoire (E-modèle, V-modèle, EV-modèle, P- modèle, katoka). Quelques modèles lorsque les contraintes sont aléatoires (Seuil de probabilités sur les contraintes, recours général, fixe, et fixe simple) et deux exemples. Dans la deuxième partie de ce chapitre on a étudié le cas d'un programme linéaire multi-objectif stochastique, dont on a cité le programme du risque minimal multiple, et stochastique goal programming.
Dans le quatrième chapitre on a parlé de la programmation mathématique (cas non linéaire), on a défini quelques notions de base, la classification d'un programme mathématique, qualification des contraintes, l'existence et l'unicité d'une solution, et on a cité les conditions d'optimalité de 1 ere et 2 eme ordre pour les cas avec contraintes et sans contraintes , et pour la programmation non linéaire stochastique nous avons donné deux modèles; l'un est fractionnaire, il se résout par l'algorithme de A.Cambini, et l autre fait appel a une optimisation globale ce qui engendre la complexité de résolution de ce dernier, et enfin nous avons terminé ce chapitre par la résolution de deux problèmes stochastiques non linéaires.
Le cinquième chapitre se base sur le coté de programmatio
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Health communication and good governance: an analysis of healthcare hospitals in Swabi and Buner, Pakistan
Get PDFThis study uses the good governance approach with five basic pillars: open government and transparency; public services delivery; citizen participation; accountability; and innovation and technology with 12 principles of good governance as a method and approach. The relevant literature and political parties’ commitment during the election campaign in 2018 was presented as evidence of the significance of the study. Primary data of 75 hospitals of two districts quantitatively 44 hospitals of district Swabi and 31 hospitals of district Buner visited and asked quantitative and qualitative question-near about infrastructure and healthcare facilities, equipment, and staff behaviour with researcher observations. The data analyzed with chi-Square SPSS Primary Health (PH) and Secondary Health (SH) into satisfactory and un-satisfactory PH found ignored and suggested, SH found facilitated as satisfactory. The result shows that primary data need waiting areas, drinking water, supply of up-to-date routine equipment, availability of medicine, presentation of doctors, availability of ambulance, and infection prevention control (IPC) mechanisms to reduce the burden of patients over secondary and tertiary hospitals
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