[Statlist] Statistics Seminar, Thursday 23, 14h15 at EPFL

[Stephan Morgenthaler]

STATISTICS SEMINAR

Thursday, 23 June 2015 – 14h15

Room MA12 <http://plan.epfl.ch/?lang=en&room=MAA110>

Prof. Saeid Rezakhah

Amirkabir University of Technology, Tehran


Prof. Rezakhah is visiting EPFL from February to August 2015. His main 
interests are time series analysis and applied stochastic processes. He 
will be speaking on:

*Markov Switching  Component GARCH Model: Stability and Forecasting***

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Abstract:

An extension of   the  Markov switching  {GARCH} model  will be 
presented. In this model, the volatility in each state is a convex 
combination of two different  {GARCH} components with time varying 
weights. This model has the dynamic behavior to capture the variants of 
shocks. The asymptotic behavior of the second moment is investigated and 
an appropriate upper bound for it is evaluated. Using  the Bayesian 
method via Gibbs sampling algorithm, a dynamic method for the estimation 
of the  parameters is proposed. Finally we illustrate the efficiency of 
the  model by simulation and also by considering two different set of 
empirical financial data. We show that this model provide much better 
forecasts of the volatility than the Markov switching GARCH model.

Best regards,

Stephan Morgenthaler

<http://smat.epfl.ch/seminar/seminar.php>