Optimal Alarm Systems for Fiaparch Processes
نویسندگان
چکیده
• In this work, an optimal alarm system is developed to predict whether a financial time series modeled via Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) models, up/downcrosses some particular level and give an alarm whenever this crossing is predicted. The paper presents classical and Bayesian methodology for producing optimal alarm systems. Both methodologies are illustrated and their performance compared through a simulation study. The work finishes with an empirical application to a set of data concerning daily returns of the São Paulo Stock Market. Key-Words: • FIAPARCH processes; optimal alarm systems; econometrics. AMS Subject Classification: • 62M10, 91B70. 38 Conceição Costa, Manuel Scotto and Isabel Pereira Optimal Alarm Systems for FIAPARCH Processes 39
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