A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility

In a conditional predictive ability test framework, we investigate whether market factors influence the relative conditional predictive ability of realized measures (RMs) and implied volatility (IV), which is able to examine the asynchronism in their forecasting accuracy, and further analyze their unconditional forecasting performance for volatility forecast. Our results show that the asynchronism can be detected significantly and is strongly related to certain market factors, and the comparison between RMs and IV on average forecast performance is more efficient than previous studies. Finally, we use the factors to extend the empirical similarity (ES) approach for combination of forecasts derived from RMs and IV.     

Forecasting stock volatility in the presence of extreme shocks: Short-term and long-term effects

This paper introduces a novel generalized autoregressive conditional heteroskedasticity–mixed data sampling–extreme shocks (GARCH-MIDAS-ES) model for stock volatility to examine whether the importance of extreme shocks changes in different time ranges. Based on different combinations of the short- and long-term effects caused by extreme events, we extend the standard GARCH-MIDAS model to characterize the different responses of the stock market for short- and long-term horizons, separately or in combination. The unique timespan of nearly 100 years of the Dow Jones Industrial Average (DJIA) daily returns allows us to understand the stock market volatility under extreme shocks from a historical perspective. The in-sample empirical results clearly show that the DJIA stock volatility is best fitted to the GARCH-MIDAS-SLES model by including the short- and long-term impacts of extreme shocks for all forecasting horizons. The out-of-sample results and robustness tests emphasize the significance of decomposing the effect of extreme shocks into short- and long-term effects to improve the accuracy of the DJIA volatility forecasts.     

Shift-contagion in energy markets and global crisis

This paper presents an analysis of shift-contagion in energy markets, testing whether linkages between returns in energy markets increase during crisis periods. The research presented herein demonstrates how common movement between energy markets increases due to (i) shift-contagion across energy markets, reflected by structural transmission of shocks across markets and (ii) larger common shocks operating through standard cross-market interdependences. A regime-switching model was developed to detect shift-contagion across energy markets. In the approach adopted herein, the occurrence of shift-contagion is endogenously estimated rather than being exogenously assigned. The results show that shift-contagion has been a major feature of energy markets over the last decade. Evidence is presented which demonstrates that the linkages between energy markets do not appear to be stable. These results are remarkably accurate for forecasting Brent and natural gas for horizons for up to 50 days. Conversely, for WTI (West Texas Intermediate oil) and coal, the model performs well only for forecasting very short horizons (up to 20 days). For all products, the model shows significant biases for long horizons.     

Forecasting under model uncertainty: Non-homogeneous hidden Markov models with Pòlya-Gamma data augmentation

We consider finite state-space non-homogeneous hidden Markov models for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive regressions with state-dependent coefficients and time-varying transition probabilities that depend on the predictors via a logistic/multinomial function. In a hidden Markov setting, inference for logistic regression coefficients becomes complicated and in some cases impossible due to convergence issues. In this paper, we aim to address this problem utilizing the recently proposed Pólya-Gamma latent variable scheme. Also, we allow for model uncertainty regarding the predictors that affect the series both linearly — in the mean — and non-linearly — in the transition matrix. Predictor selection and inference on the model parameters are based on an automatic Markov chain Monte Carlo scheme with reversible jump steps. Hence the proposed methodology can be used as a black box for predicting time series. Using simulation experiments, we illustrate the performance of our algorithm in various setups, in terms of mixing properties, model selection and predictive ability. An empirical study on realized volatility data shows that our methodology gives improved forecasts compared to benchmark models.     

基于过程神经网络的短期负荷预测

针对目前常用方法在解决负荷预测问题时,结果往往难以达到工程要求精度的现状,利用过程神经网络输入为时间函数以及预测精度高的特点,建立了基于过程神经网络的电力系统短期负荷预测模型;给出了模型的结构,基于函数正交基展开的离散数据拟合方法以及模型的学习算法.针对东北某地区电网的日负荷数据,进行了模型训练和负荷预测正确性的研究.结果表明,所建立的预测模型对负荷的预测准确率高,优于BP神经网络负荷预测模型的预测结果.     

Forecasting economic indicators using a consumer sentiment index: Survey‐based versus text‐based data

Given the confirmed effectiveness of the survey‐based consumer sentiment index (CSI) as a leading indicator of real economic conditions, the CSI is actively used in making policy judgments and decisions in many countries. However, although the CSI offers qualitative information for presenting current conditions and predicting a household's future economic activity, the survey‐based method has several limitations. In this context, we extracted sentiment information from online economic news articles and demonstrated that the Korean cases are a good illustration of applying a text mining technique when generating a CSI using sentiment analysis. By applying a simple sentiment analysis based on the lexicon approach, this paper confirmed that news articles can be an effective source for generating an economic indicator in Korea. Even though cross‐national comparative research results are suited better than national‐level data to generalize and verify the method used in this study, international comparisons are quite challenging to draw due to the necessary linguistic preprocessing. We hope to encourage further cross‐national comparative research to apply the approach proposed in this study.     

Enhancing survey‐based investment forecasts

We investigate the accuracy of capital investment predictors from a national business survey of South African manufacturing. Based on data available to correspondents at the time of survey completion, we propose variables that might inform the confidence that can be attached to their predictions. Having calibrated the survey predictors' directional accuracy, we model the probability of a correct directional prediction using logistic regression with the proposed variables. For point forecasting, we compare the accuracy of rescaled survey forecasts with time series benchmarks and some survey/time series hybrid models. In addition, using the same set of variables, we model the magnitude of survey prediction errors. Directional forecast tests showed that three out of four survey predictors have value but are biased and inefficient. For shorter horizons we found that survey forecasts, enhanced by time series data, significantly improved point forecasting accuracy. For longer horizons the survey predictors were at least as accurate as alternatives. The usefulness of the more accurate of the predictors examined is enhanced by auxiliary information, namely the probability of directional accuracy and the estimated error magnitude.     

基于递推最小二乘改进算法的洪水预报模型研究

由递推最小二乘算法估算出的自回归系数在一定条件下具有最佳的统计特性,但在实际应用中,这种方法往往难以动态地把握水文现象的动态特性.为提高自回归洪水预报模型的精度,分别用衰减记忆、有限记忆及2种算法相结合的方法对基本的递推最小二乘算法进行改进,并利用这几种改进算法对白马寺水文站的实测径流序列进行了模拟演算.结果表明,这3种改进的递推最小二乘算法,都可以使自回归洪水预报模型取得较好的预报效果,但实际应用时应根据不同预报的侧重点选择相应的算法.     

Optimal sampling frequency for volatility forecast models for the Indian stock markets

This paper evaluates the performance of conditional variance models using high‐frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities calculated at two different frequencies is used as benchmark to evaluate the volatility forecasting ability of the conditional variance models (GARCH (1, 1)) at different sampling frequencies. From the analysis, it is found that sampling at 30 minutes gives the best forecast for daily volatility. The forecasting ability of these models is deteriorated, however, by the non‐normal property of mean adjusted returns, which is an assumption in conditional variance models. Nevertheless, the optimum frequency remained the same even in the case of different models (EGARCH and PARCH) and different error distribution (generalized error distribution, GED) where the error is reduced to a certain extent by incorporating the asymmetric effect on volatility. Our analysis also suggests that GARCH models with GED innovations or EGRACH and PARCH models would give better estimates of volatility with lower forecast error estimates. Copyright © 2008 John Wiley & Sons, Ltd.     

Short‐term salmon price forecasting

This study establishes a benchmark for short‐term salmon price forecasting. The weekly spot price of Norwegian farmed Atlantic salmon is predicted 1–5 weeks ahead using data from 2007 to 2014. Sixteen alternative forecasting methods are considered, ranging from classical time series models to customized machine learning techniques to salmon futures prices. The best predictions are delivered by k‐nearest neighbors method for 1 week ahead; vector error correction model estimated using elastic net regularization for 2 and 3 weeks ahead; and futures prices for 4 and 5 weeks ahead. While the nominal gains in forecast accuracy over a naïve benchmark are small, the economic value of the forecasts is considerable. Using a simple trading strategy for timing the sales based on price forecasts could increase the net profit of a salmon farmer by around 7%.