Journal article 1614 views
Forecasting for Financial Stock Returns Using a Quantile Function Model
World Academy of Science, Engineering and Technology, Volume: 9, Issue: 9, Pages: 753 - 756
Swansea University Author:
Yuzhi Cai
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DOI (Published version): 10.5281/zenodo.1109383
Abstract
We introduce a newly developed quantilefunction model that can be used for estimating conditionaldistributions of financial returns and for obtaining multi-step aheadout-of-sample predictive distributions of financial returns. Since weforecast the whole conditional distributions, any predictive quan...
| Published in: | World Academy of Science, Engineering and Technology |
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| Published: |
2015
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| Online Access: |
https://zenodo.org/record/1109383#.XZHyWkZKiBY |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa24734 |
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| Abstract: |
We introduce a newly developed quantilefunction model that can be used for estimating conditionaldistributions of financial returns and for obtaining multi-step aheadout-of-sample predictive distributions of financial returns. Since weforecast the whole conditional distributions, any predictive quantityof interest about the future financial returns can be obtained simplyas a by-product of the method. We also show an application of themodel to the daily closing prices of Dow Jones Industrial Average(DJIA) series over the period from 2 January 2004 - 8 October 2010.We obtained the predictive distributions up to 15 days ahead forthe DJIA returns, which were further compared with the actuallyobserved returns and those predicted from an AR-GARCH model.The results show that the new model can capture the main featuresof financial returns and provide a better fitted model together withimproved mean forecasts compared with conventional methods. Wehope this talk will help audience to see that this new model has thepotential to be very useful in practice |
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| Keywords: |
DJIA, Financial returns, predictive distribution, |
| College: |
Faculty of Humanities and Social Sciences |
| Issue: |
9 |
| Start Page: |
753 |
| End Page: |
756 |