SMS scnews item created by John Ormerod at Fri 6 Mar 2015 1617
Type: Seminar
Distribution: World
Expiry: 13 Mar 2015
Calendar1: 13 Mar 2015 1400-1500
CalLoc1: Carslaw 173
Auth: jormerod@pjormerod5.pc (assumed)

Statistics Seminar: Jennifer Chan -- Quantile regression for conditional autoregressive range model


To calculate value-at-risk (VaR) for risk management, we derive parametric quantile 
functions. The general technique is to first build a mean regression model and then 
estimate families of conditional quantile functions based on the mean regression 
model. Instead, we propose to regress directly on the quantiles of a distribution 
and demonstrate the method through the conditional autoregressive range (CARR) model 
which has increased popularity recently. Two flexible  distribution families: the 
generalized beta type two on positive support and the generalized-t on real support 
are adopted for demonstration. Then, the models are extended to model the volatility 
dynamic and compared in terms of goodness-of-fit. The models are implemented using 
the module  fminsearch in  Matlab  under the classical likelihood approach and 
applied to analyse the intra-day high-low price ranges from the All Ordinaries index 
for the Australian stock market to obtain value-at-risk forecasts. VaR are forecast 
using the proposed models.

ball Calendar (ICS file) download, for import into your favourite calendar application
ball UNCLUTTER for printing
ball AUTHENTICATE to mark the scnews item as read
School members may try to .