Modelling volatile time series with v-transforms and copulas

Artikel

An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time series and quantiles of the distribution of a predictable volatility proxy variable. They can be represented as copulas and permit the formulation and estimation of models that combine arbitrary marginal distributions with copula processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the resulting model is shown to replicate many of the stylized facts of financial return series and to facilitate the calculation of marginal and conditional characteristics of the model including quantile measures of risk. Estimation is carried out by adapting the exact maximum likelihood approach to the estimation of ARMA processes, and the model is shown to be competitive with standard GARCH in an empirical application to Bitcoin return data.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-26 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: ARMA model ; copula ; probability-integral transform ; time series ; volatility

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): McNeil, Alexander J.
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2021

Weitere Informationen

• DOI: doi:10.3390/risks9010014
• Handle: http://hdl.handle.net/10419/258104
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ