Forecasting High-Frequency Volatility Shocks: An Analytical - download pdf or read online

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By Holger Kömm

This thesis offers a brand new method that unites qualitative and quantitative mass information in type of textual content information and tick-by-tick asset costs to forecast the chance of upcoming volatility shocks. Holger Kömm embeds the proposed approach in a tracking method, utilizing first, a chain of competing estimators to compute the unobservable volatility; moment, a brand new two-state Markov switching blend version for autoregressive and zero-inflated time-series to spot structural breaks in a latent facts new release strategy and 3rd, a range of competing development acceptance algorithms to categorise the aptitude info embedded in unforeseen, yet public observable textual content info in surprise and nonshock details. The computer screen is knowledgeable, confirmed, and evaluated on a yr survey at the top typical resources indexed within the indices DAX, MDAX, SDAX and TecDAX.

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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System by Holger Kömm


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