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Hong WT, Hwang E. Exponentially Weighted Multivariate HAR Model with Applications in the Stock Market. ENTROPY 2022; 24:e24070937. [PMID: 35885160 PMCID: PMC9315591 DOI: 10.3390/e24070937] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Download PDF] [Figures] [Subscribe] [Scholar Register] [Received: 05/30/2022] [Revised: 06/30/2022] [Accepted: 07/01/2022] [Indexed: 02/04/2023]
Abstract
This paper considers a multivariate time series model for stock prices in the stock market. A multivariate heterogeneous autoregressive (HAR) model is adopted with exponentially decaying coefficients. This model is not only suitable for multivariate data with strong cross-correlation and long memory, but also represents a common structure of the joint data in terms of decay rates. Tests are proposed to identify the existence of the decay rates in the multivariate HAR model. The null limiting distributions are established as the standard Brownian bridge and are proven by means of a modified martingale central limit theorem. Simulation studies are conducted to assess the performance of tests and estimates. Empirical analysis with joint datasets of U.S. stock prices illustrates that the proposed model outperforms the conventional HAR models via OLSE and LASSO with respect to residual errors.
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Affiliation(s)
- Won-Tak Hong
- Department of International Studies, Kyung Hee University, Yongin-si 17104, Korea;
| | - Eunju Hwang
- Department of Applied Statistics, Gachon University, Seongnam-si 13120, Korea
- Correspondence: ; Tel.: +82-31-750-5373
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Neural network heterogeneous autoregressive models for realized volatility. COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS 2018. [DOI: 10.29220/csam.2018.25.6.659] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/17/2022]
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Hwang E, Shin DW. Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models. COMMUN STAT-THEOR M 2017. [DOI: 10.1080/03610926.2017.1408827] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
Affiliation(s)
- Eunju Hwang
- Department of Applied Statistics, Gachon University, SengNamSi, South Korea
| | - Dong Wan Shin
- Department of Statistics, Ewha University, Seoul, South Korea
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Song H, Shin DW, Yoo JK. Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? COMMUN STAT-SIMUL C 2017. [DOI: 10.1080/03610918.2016.1249882] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
Affiliation(s)
- Hyejin Song
- Department of Statistics, Ewha University, Seoul, South Korea
| | - Dong Wan Shin
- Department of Statistics, Ewha University, Seoul, South Korea
| | - Jae Keun Yoo
- Department of Statistics, Ewha University, Seoul, South Korea
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Hwang E, Shin DW. Stationary bootstrapping for structural break tests for a heterogeneous autoregressive model. COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS 2017. [DOI: 10.5351/csam.2017.24.4.367] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/11/2022]
Affiliation(s)
- Eunju Hwang
- Department of Applied Statistics, Gachon University, Korea
| | - Dong Wan Shin
- Department of Statistics, Ewha Womans University, Korea
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Affiliation(s)
- Eunju Hwang
- Department of Applied Statistics, Gachon University, Seongnam, Korea
| | - Dong Wan Shin
- Department of Statistics, Ewha University, Seoul, Korea
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An integrated heteroscedastic autoregressive model for forecasting realized volatilities. J Korean Stat Soc 2016. [DOI: 10.1016/j.jkss.2015.12.004] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/17/2022]
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Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight. J Korean Stat Soc 2015. [DOI: 10.1016/j.jkss.2014.11.001] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/23/2022]
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A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model. Stat Probab Lett 2015. [DOI: 10.1016/j.spl.2015.01.013] [Citation(s) in RCA: 8] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/21/2022]
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