haku: @indexterm multivariate analysis / yhteensä: 102
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| Tekijä: | Byström, H. N. E. |
| Otsikko: | Orthogonal GARCH and covariance matrix forecasting: the Nordic stock markets during the Asian financial crisis 1997-1998 |
| Lehti: | European Journal of Finance
2004 : FEB, VOL. 10:1, p. 44-67 |
| Asiasana: | Stock markets Multivariate analysis Forecasting techniques Scandinavia |
| Vapaa asiasana: | Multivariate GARCH |
| Kieli: | eng |
| Tiivistelmä: | The author assesses the stress performance of the model by looking at four Nordic stock indices and covariane matrix forecasts during the highly volatile years of 1997 and 1998. Orthogonal GARCH is found to perform significantly better than traditional historical variance and moving average methods. Out-of-sample evaluation measures include symmetric loss functions, asymmetric loss functions, operational methods suggested by the Basle Committee on Banking Supervision, as well as a forecast evaluation methodology based on pricing of simulated 'reinbow options'. |
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