Forecasting volatility by means of threshold models

The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out‐of‐sample forecasting ability of the SETAR‐Threshold GARCH (SETAR‐TGARCH) and the SETAR‐Threshold Stochastic Volatility (SETAR‐THSV) models compared to the GARCH model and Stochastic Volatility (SV) model. However, the main problem in evaluating the predictive ability of volatility models is that the ‘true’ underlying volatility process is not observable and thus a proxy must be defined for the unobservable volatility. For the class of nonlinear state space models (SETAR‐THSV and SV), a modified version of the SIR algorithm has been used to estimate the unknown parameters. The forecasting performance of competing models has been compared for two return time series: IBEX 35 and S&P 500. We explore whether the increase in the complexity of the model implies that its forecasting ability improves. Copyright © 2007 John Wiley & Sons, Ltd.     

Transgenesis in fish

Gene transfer into fish embryo is being performed in several species (trout, salmon, carps, tilapia, medaka, goldfish, zebrafish, loach, catfish, etc.). In most cases, pronuclei are not visible and microinjection must be done into the cytoplasm of early embryos. Several million copies of the gene are generally injected. In medaka, transgenesis was attempted by injection of the foreign gene into the nucleus of oocyte. Several reports indicate that the injected DNA was rapidly replicated in the early phase of embryo development, regardless of the origin and the sequence of the foreign DNA. The survival of the injected embryos was reasonably good and a large number reached maturity. The proportion of transgenic animals ranged from 1 to 50% or more, according to species and to experimentators. The reasons for this discrepancy have not been elucidated. In all species, the transgenic animals were mosaic. The copy number of the foreign DNA was different in the various tissues of an animal and a proportion lower than 50% of F1 offsprings received the gene from their parents. This suggests that the foreign DNA was integrated into the fish genome at the two cells stage or later. An examination of the integrated DNA in different cell types of an animal revealed that integration occurred mainly during early development. The transgene was found essentially unrearranged in the fish genome of the founders and offsprings. The transgenes were therefore stably transmitted to progeny in a Mendelian fashion. Southern blot analysis revealed the presence of possible junction fragments and also of minor bands which may result from a rearrangement of the injected DNA. In all species, the integrated DNA appeared mainly as random end-to-end concatemers. In adult trout blood cells, a small proportion of the foreign DNA was maintained in the form of non-integrated concatemers, as judged by the existence of end fragments. The transgenes were generally only poorly expressed. The majority of the injected gene constructs contained essentially mammalian or higher vertebrates sequences. The comparison of the expression efficiency of these constructs in transfected fish and mammalian cells indicates that some of the mammalian DNA sequences are most efficiently understood by the fish cell machinery. Chloramphenicol acetyl transferase gene under the control of promoters from Rous sarcoma virus, and human cytomegalovirus, was expressed in several tissues of transgenic fish. Chicken delta-crystallin gene was expressed in several tissues of transgenic fish.(ABSTRACT TRUNCATED AT 400 WORDS)