This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 423
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #308348
Title: Seasonal Volatility Models
Author(s): Ankit Doshi*+ and Julieta Frank* and Aerambamoorthy Thavaneswaran
Companies: University of Manitoba and University of Manitoba and University of Manitoba
Address: Department of Statistics, Winnipeg, MB, R3T2N2, Canada
Keywords: Forecast error ; GARCH ; Kurtosis ; Seasonality ; Volatility

Much research has found seasonal behavior in the volatility of financial and commodity data. Most of it has used GARCH models with dummy variables in the volatility equation to account for specific events. A few studies have extended these models to more flexible seasonal forms such as the periodic GARCH. Here, we introduce the multiplicative seasonal GARCH model, where autocorrelation exists at seasonal and at adjacent non-seasonal lags. Building on previous research suggesting that returns series may not be conditionally normally distributed but rather conditionally leptokurtic, we derive the expression for the kurtosis of the multiplicative seasonal GARCH process and for the variance of the l-steps-ahead forecast error.

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