[MRM] Vortrag Seminar Finanzmathematik

[Modernes Risk Management]

Sehr geehrte Damen und Herren,


Im Rahmen des Seminars "Finanzmathematik" halten Frau
DI Gabriela de Raaij (OeNB) und Herr Dr. Burkhard Raunig (OeNB)
einen Vortrag zum Thema

	"Evaluation Density Forecasts of Stock Market Returns"

(Der Vortrag ist auf deutsch, trotz des englischen Titels.)

Zeit:   Mittwoch, 23. Mai 2001, 19 Uhr

Ort:    Hoersaal 1
        Institut fuer Mathematik
        Strudlhofgasse 4
        1090 Wien


Mit besten Gruessen,

Markus Fulmek

Abstract der zugrundeliegenden Arbeit:

The paper deals with the evaluation of density forecasts which have become
quite popular in economics and finance. We use two probability integral
transformations to evaluate such forecasts. The first transformation
implies
that the realizations transformed with respect to the forecasted densities
of a stochastic process should be identically uniformly distributed if the
density forecasts coincide with the densities underlying the true data
generating process. The second transformation generates data that are
identically normally distributed if the correct densities are forecasted.
The second transformation enables us to apply standard statistical
techniques
to test for identically normally distributed data and hence for the
quality
of density forecasts.

We use the methodology to evaluate density forecasts for daily returns of
three stock market indices (S&P 500, DAX and ATX). Various models to
forecast
conditional densities are investigated. We consider the conditional normal
distribution where the variances are estimated by moving averages or
exponentially weighted moving averages, scaled t distributions and
GARCH(1,1)
variants with normally and t-distributed errors, respectively. In- and
out-of-sample results for the density forecasting models are examined.
Using
the proposed methodology we find that GARCH models with t-distributed
errors
perform best in sample as well as out of sample. We are also able to
demonstrate that certain misspecifications of a forecasting model are
quite
naturally reflected in the transformed series used for density forecast
evaluation.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management

WWW:                  http://keen.esi.ac.at/~amrm/

Institut fuer Mathematik         Universitaet Wien
Strudlhofgasse 4                       A-1090 Wien

Kontakt: Dr.Markus Fulmek      amrm at keen.esi.ac.at