Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets

In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986-2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is generally associated with global financial and political events. We have also demonstrated that controlling sudden changes effectively reduces the persistence of volatility or long memory and that incorporating information regarding sudden changes in variance improves the accuracy of estimating volatility dynamics and forecasting future volatility for researchers and investors.     

Forecasting volatility of fuel oil futures in China: GARCH-type,SV or realized volatility models?

In most previous works on forecasting oil market volatility, squared daily returns were taken as the proxy of unobserved actual volatility. However, as demonstrated by Andersen and Bollerslev (1998) [22], this proxy with too high measurement noise could be perfectly outperformed by a so-called realized volatility (RV) measure calculated by the cumulative sum of squared intraday returns. With this motivation, we further extend earlier works by employing intraday high-frequency data to compare the performance of three typical volatility models in the daily out-of-sample volatility forecasting of fuel oil futures on the Shanghai Futures Exchange (SHFE): the GARCH-type, stochastic volatility (SV) and realized volatility models. By taking RV as the proxy of actual daily volatility and then computing forecasting errors, we find that the realized volatility model based on intraday high-frequency data produces significantly more accurate volatility forecasts than the GARCH-type and SV models based on daily returns. Furthermore, the SV model outperforms many linear and nonlinear GARCH-type models that capture long-memory volatility and/or the asymmetric leverage effect in volatility. These results also prove that abundant volatility information is available in intraday high-frequency data, and can be used to construct more accurate oil volatility forecasting models.     

Comparative Analysis of Different Univariate Forecasting Methods in Modelling and Predicting the Romanian Unemployment Rate for the Period 2021–2022

Unemployment has risen as the economy has shrunk. The coronavirus crisis has affected many sectors in Romania, some companies diminishing or even ceasing their activity. Making forecasts of the unemployment rate has a fundamental impact and importance on future social policy strategies. The aim of the paper is to comparatively analyze the forecast performances of different univariate time series methods with the purpose of providing future predictions of unemployment rate. In order to do that, several forecasting models (seasonal model autoregressive integrated moving average (SARIMA), self-exciting threshold autoregressive (SETAR), Holt–Winters, ETS (error, trend, seasonal), and NNAR (neural network autoregression)) have been applied, and their forecast performances have been evaluated on both the in-sample data covering the period January 2000–December 2017 used for the model identification and estimation and the out-of-sample data covering the last three years, 2018–2020. The forecast of unemployment rate relies on the next two years, 2021–2022. Based on the in-sample forecast assessment of different methods, the forecast measures root mean squared error (RMSE), mean absolute error (MAE), and mean absolute percent error (MAPE) suggested that the multiplicative Holt–Winters model outperforms the other models. For the out-of-sample forecasting performance of models, RMSE and MAE values revealed that the NNAR model has better forecasting performance, while according to MAPE, the SARIMA model registers higher forecast accuracy. The empirical results of the Diebold–Mariano test at one forecast horizon for out-of-sample methods revealed differences in the forecasting performance between SARIMA and NNAR, of which the best model of modeling and forecasting unemployment rate was considered to be the NNAR model.     

Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework

Traffic volatility modeling has been highly valued in recent years because of its advantages in describing the uncertainty of traffic flow during the short-term forecasting process. A few generalized autoregressive conditional heteroscedastic (GARCH) models have been developed to capture and hence forecast the volatility of traffic flow. Although these models have been confirmed to be capable of producing more reliable forecasts than traditional point forecasting models, the more or less imposed restrictions on parameter estimations may make the asymmetric property of traffic volatility be not or insufficiently considered. Furthermore, the performance of the models has not been fully evaluated and compared in the traffic forecasting context, rendering the choice of the models dilemmatic for traffic volatility modeling. In this study, an omnibus traffic volatility forecasting framework is proposed, where various traffic volatility models with symmetric and asymmetric properties can be developed in a unifying way by fixing or flexibly estimating three key parameters, namely the Box-Cox transformation coefficient λ, the shift factor b, and the rotation factor c. Extensive traffic speed datasets collected from urban roads of Kunshan city, China, and from freeway segments of the San Diego Region, USA, were used to evaluate the proposed framework and develop traffic volatility forecasting models in a number of case studies. The models include the standard GARCH, the threshold GARCH (TGARCH), the nonlinear ARCH (NGARCH), the nonlinear-asymmetric GARCH (NAGARCH), the Glosten–Jagannathan–Runkle GARCH (GJR-GARCH), and the family GARCH (FGARCH). The mean forecasting performance of the models was measured with mean absolute error (MAE) and mean absolute percentage error (MAPE), while the volatility forecasting performance of the models was measured with volatility mean absolute error (VMAE), directional accuracy (DA), kickoff percentage (KP), and average confidence length (ACL). Experimental results demonstrate the effectiveness and flexibility of the proposed framework and provide insights into how to develop and select proper traffic volatility forecasting models in different situations.     

How to Promote the Performance of Parametric Volatility Forecasts in the Stock Market? A Neural Networks Approach

This study uses the fourteen stock indices as the sample and then utilizes eight parametric volatility forecasting models and eight composed volatility forecasting models to explore whether the neural network approach and the settings of leverage effect and non-normal return distribution can promote the performance of volatility forecasting, and which one of the sixteen models possesses the best volatility forecasting performance. The eight parametric volatility forecasts models are composed of the generalized autoregressive conditional heteroskedasticity (GARCH) or GJR-GARCH volatility specification combining with the normal, Student’s t, skewed Student’s t, and generalized skewed Student’s t distributions. Empirical results show that, the performance for the composed volatility forecasting approach is significantly superior to that for the parametric volatility forecasting approach. Furthermore, the GJR-GARCH volatility specification has better performance than the GARCH one. In addition, the non-normal distribution does not have better forecasting performance than the normal distribution. In addition, the GJR-GARCH model combined with both the normal distribution and a neural network approach has the best performance of volatility forecasting among sixteen models. Thus, a neural network approach significantly promotes the performance of volatility forecasting. On the other hand, the setting of leverage effect can encourage the performance of volatility forecasting whereas the setting of non-normal distribution cannot.     

Portfolio Optimization with a Mean-Entropy-Mutual Information Model

This paper describes a new model for portfolio optimization (PO), using entropy and mutual information instead of variance and covariance as measurements of risk. We also compare the performance in and out of sample of the original Markowitz model against the proposed model and against other state of the art shrinkage methods. It was found that ME (mean-entropy) models do not always outperform their MV (mean-variance) and robust counterparts, although presenting an edge in terms of portfolio diversity measures, especially for portfolio weight entropy. It further shows that when increasing return constraints on portfolio optimization, ME models were more stable overall, showing dampened responses in cumulative returns and Sharpe indexes in comparison to MV and robust methods, but concentrated their portfolios more rapidly as they were more evenly spread initially. Finally, the results suggest that it was also shown that, depending on the market, increasing return constraints may have positive or negative impacts on the out-of-sample performance.     

Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices

This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the stochastic and nonlinearity of the error term sequence, and capture the asymmetric volatility. Therefore, analytical results of the ANNS option-pricing model reveal that Grey-EGARCH volatility provides greater predictability than other volatility approaches.     

Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis

This paper analyzes the multifractality in Shanghai and Shenzhen stock markets using multifractal spectrum analysis and multifractal detrended fluctuation analysis. We find that the main source of multifractality is long-range correlations of large and small fluctuations. Then, we introduce a multifractal volatility measure (MV) and find that by taking MV as daily conditional volatility, the simulated series displayed similar “stylized facts” to the original daily return series. By capturing the dynamics of MV using the ARFIMA model, we find that the out-of-sample forecasting performance of the ARFIMA-MV model is better than some GARCH-class models and the ARFIMA-RV model under some criteria of loss function.     

Near-infrared spectroscopy to assess typhaneoside and isorhamnetin-3-O-glucoside in different processed products of pollen typhae

With the ever increasing importance of testing drug quality, rapid analytical methods are needed for supervision of Chinese herbal medicines. Near-infrared spectroscopy is one of the most powerful tools in quality assessment of Chinese herbal medicines. In this work, near-infrared spectroscopy was applied to develop a rapid method for quantitative determination of typhaneoside and isorhamnetin-3-O-glucoside in different processed products of Pollen Typhae. A total of 71 batches of samples were collected from different regions in China. After acquisition of near-infrared spectra, different pre-processing methods were compared, and a competitive adaptive reweighted sampling algorithm was used to perform the variable selection. Then a partial least squares regression algorithm was applied to build the quantitative models. The root mean square error of calibration, root mean square error of cross validation, and root mean square error of prediction were 0.0190, 0.0364, and 0.0158%, respectively, for a quantitative model of typhaneoside. The root mean square error of calibration, root mean square error of cross validation, and root mean square error of prediction were 0.0190, 0.0377, and 0.0170%, respectively, for a quantitative model of isorhamnetin-3-O-glucoside. Moreover, the relative prediction deviation values of both quantitative models were larger than 3, indicating good performance of the partial least squares (PLS) models. The results demonstrated that high accuracy prediction of typhaneoside and isorhamnetin-3-O-glucoside could be obtained by near-infrared spectroscopy, to allow an alternative method for quality assessment of different processed products of Pollen Typhae.     

MEMS陀螺随机误差特性研究及补偿

为了提高MEMS陀螺输出角速度的精度,采用Allan分析法以及Kalman滤波算法对MEMS陀螺仪进行随机误差分析和补偿。由Allan方差分析陀螺的输出数据,对Allan方差进行最小二乘法拟合,得到各项随机噪声的定量评价指标;对陀螺的输出数据使用AR模型进行数学建模,采用AIC准则确定了AR模型的阶次,建立了陀螺零漂数据的离散时间表达式;在AR模型所建立的陀螺随机误差模型的基础上,设计了Kalman滤波器,对陀螺输出数据使用Kalman算法进行了滤波处理,对陀螺的随机误差进行了补偿;通过Allan方差对Kalman算法对陀螺随机误差的补偿效果进行分析。实验结果表明:角速率随机游走Kalman滤波前为槡0.148 7°/h~(1/2),Kalman滤波补偿后为槡0.004 1°/h~(1/2),,通过补偿可减小97.24%的角速率随机游走误差;零偏不稳定性Kalman滤波前为1.940 8°/h,Kalman滤波补偿后为0.054 2°/h,通过补偿可减小97.21%的零偏不稳定性误差;速率随机游走Kalman滤波前为2.698 5°/h~(3/2),Kalman滤波补偿后为0.334 3°/h~(3/2),通过补偿可减小87.61%的速率随机游走误差。Kalman滤波适用于MEMS陀螺的滤波处理,可有效降低陀螺的随机误差。     

Portfolio management under sudden changes in volatility and heterogeneous investment horizons

We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992–2005. To that end, we first proceed to utilize the ICSS algorithm to detect long-term volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from semi-parametric estimates of the distribution functions of returns, which account for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead to an overestimation of financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock and bond indices contribute to portfolio diversification.     

计算机控制光学抛光驻留时间求解中两类优化算法的分析

建立了基于矩阵计算的驻留时间计算模型,根据实际加工要求建立了最小二乘和最佳一致逼近最优化求解数学模型,总结了两类优化问题的求解方法。根据自研数学解法器,利用数值计算分析了这两类算法的计算特点。仿真结果显示,两种自研算法具有较高的计算精度,最小二乘逼近算法计算效率有待提高,对外界扰动和计算模型等误差不敏感,最佳一致逼近算法计算效率较高,但对误差比较敏感。实际加工时,如果面形精度已经比较高时,建议多采用最小二乘逼近算法。     

A test model for fluctuation-dissipation theorems with time-periodic statistics

The recently developed time-periodic fluctuation-dissipation theorem (FDT) provides a very convenient way of addressing the climate change of atmospheric systems with seasonal cycle by utilizing statistics of the present climate. A triad nonlinear stochastic model with exactly solvable first and second order statistics is introduced here as an unambiguous test model for FDT in a time-periodic setting. This model mimics the nonlinear interaction of two Rossby waves forced by baroclinic processes with a zonal jet forced by a polar temperature gradient. Periodic forcing naturally introduces the seasonal cycle into the model. The exactly solvable first and second order statistics are utilized to compute both the ideal mean and variance response to the perturbations in forcing or dissipation and the quasi-Gaussian approximation of FDT (qG-FDT) that uses the mean and the covariance in the equilibrium state. The time-averaged mean and variance qG-FDT response to perturbations of forcing or dissipation is compared with the corresponding ideal response utilizing the triad test model in a number of regimes with various dynamical and statistical properties such as weak or strong non-Gaussianity and resonant or non-resonant forcing. It is shown that even in a strongly non-Gaussian regime, qG-FDT has surprisingly high skill for the mean response to the changes in forcing. On the other hand, the performance of qG-FDT for the variance response to the perturbations of dissipation is good in the near-Gaussian regime and deteriorates in the strongly non-Gaussian regime. The results here on the test model should provide useful guidelines for applying the time-periodic FDT to more complex realistic systems such as atmospheric general circulation models.     

Artificial Neural Networks Performance in WIG20 Index Options Pricing

In this paper, the performance of artificial neural networks in option pricing was analyzed and compared with the results obtained from the Black–Scholes–Merton model, based on the historical volatility. The results were compared based on various error metrics calculated separately between three moneyness ratios. The market data-driven approach was taken to train and test the neural network on the real-world options data from 2009 to 2019, quoted on the Warsaw Stock Exchange. The artificial neural network did not provide more accurate option prices, even though its hyperparameters were properly tuned. The Black–Scholes–Merton model turned out to be more precise and robust to various market conditions. In addition, the bias of the forecasts obtained from the neural network differed significantly between moneyness states. This study provides an initial insight into the application of deep learning methods to pricing options in emerging markets with low liquidity and high volatility.     

基于小波分析的ARIMA与LSSVM组合的高炉煤气预测

高炉煤气发生量的准确预测对钢铁企业能源优化调度具有重要意义。针对钢铁企业中基于机理模型的高炉煤气发生量难以准确预测问题,建立了基于小波分析的最小二乘支持向量机(LSSVM)和自回归差分滑动平均(ARIMA)相结合的高炉煤气预测模型。预测前利用小波去噪对原始数据进行消噪处理,并对处理后的数据进行小波变换得到趋势序列和波动序列,然后对各部分序列分别建模和预测,最后将各部分预测结果叠加;仿真结果表明,组合预测模型减小了预测误差,提高了预测精度。与其他模型相比,组合预测模型更适合高炉煤气预测。     

矢量泰勒级数特征补偿的说话人识别

将矢量泰勒级数(Vector Taylor Series,VTS)特征补偿算法应用于说话人识别,给出了卷积噪声方差的近似闭式解,构建了联合快速估计卷积噪声和加性噪声均值和方差的框架。该算法可在无需失配环境先验信息的前提下,直接从失配语音中估计出卷积噪声和加性噪声的均值和方差,实现对环境失配的补偿。实验结果表明,在信道变化较大的无线信道下,卷积噪声方差的补偿最高可降低误识率3.24%.提升了系统的识别性能。在存在加性噪声的无线信道下,与基于线性失真模型的特征映射算法和倒谱均值减算法相比,本文算法可分别最大降低49.65%和68.06%的误识率,适合于信道变化较大的失配环境补偿。      

射频功率放大器经典两盒模型的最优选取

提出了一种选取射频功率放大器的最优行为模型并获取指纹特征的方法。针对Wiener模型和Hammerstein模型,提出了一种基于加权最小二乘法的最优行为模型选取方法,并给出了具体的数学分析。并对实际系统的功率放大器进行数值仿真,验证了算法的可行性及有效性,即首先根据训练集得到放大器的行为模型系数,再采用多种评判标准,通过分析测试集、训练集的误差得到最优行为模型。数值仿真结果表明:本文提出的方法能够有效地选取射频功率放大器的最优行为模型,且拟合误差较小。     

“Exact” and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study

We conduct a case study in which we empirically illustrate the performance of different classes of Bayesian inference methods to estimate stochastic volatility models. In particular, we consider how different particle filtering methods affect the variance of the estimated likelihood. We review and compare particle Markov Chain Monte Carlo (MCMC), RMHMC, fixed-form variational Bayes, and integrated nested Laplace approximation to estimate the posterior distribution of the parameters. Additionally, we conduct the review from the point of view of whether these methods are (1) easily adaptable to different model specifications; (2) adaptable to higher dimensions of the model in a straightforward way; (3) feasible in the multivariate case. We show that when using the stochastic volatility model for methods comparison, various data-generating processes have to be considered to make a fair assessment of the methods. Finally, we present a challenging specification of the multivariate stochastic volatility model, which is rarely used to illustrate the methods but constitutes an important practical application.     

杏贮藏期间可溶性固形物和硬度的近红外光谱检测

以杏为材料,研究其贮藏期间可溶性固形物和硬度的近红外漫反射无损检测模型的建立方法。研究发现,定标建模最少样品量为100个。对于可溶性固形物,刚收获样品的校正模型对各贮藏阶段的预测效果均较好,决定系数(r2p)接近0.9、预测均方根误差(RMSEP)在0.6左右及相对分析误差(RPDp)达2.5以上;而且混合阶段模型的预测效果均优于采收及不同贮藏阶段的独立模型,r2p和RPDp分别达0.9和3.0以上、RMSEP在0.3—0.5之间。对于硬度,各阶段独立模型仅能粗略预测相应贮藏时期的样品,而混合阶段模型对各贮藏时期的样品均能实现快速分析,rp2和RMSEP分别在0.8和1.0左右、RPDp达2.0。结果表明近红外漫反射光谱可用于及时评价杏贮藏期间可溶性固形物和硬度的变化。     

连续投影算法及其在小麦近红外光谱波长选择中的应用

采用全谱建立多元校正模型时,通常计算量大,模型不够稳健,而且模型的预测精度往往也不能达到最优。文章介绍一种新的波长选择方法：采用连续投影算法(successive projections algorithm),并将其集成偏最小二乘(partial least squares)多变量校正技术构成SPA-PLS方法,用于谷物小麦近红外光谱波长优化选择及其与水分含量的定量分析。结果表明：在经SPA算法后,光谱波数可削减97.72%,后继的定量校正模型结构得到显著简化,模型的稳健性也大大增强;同时,被选取的波长物理意义明确,模型的解释能力增强,而模型的预测性能也与GA-PLS方法相当。