Семинар лаборатории макроструктурного моделирования экономики России

2 марта (понедельник) в 18.10 ауд. S-612 (АУК "Покровка) состоится научный семинар лаборатории макроструктурного моделирования экономики России.
На семинаре с докладом выступит Малахов Дмитрий Игоревич
Тема доклада:  The good, the bad and the asymmetric: Evidence from a new conditional density model

We propose a novel univariate conditional density model, where asset returns are decomposed into a sum of copula-connected unobserved positive and negative shocks, both continuous and discrete, thus yielding up to 4 distinct shocks. The ‘Bad environments, good environments’ model is a special case of a dynamic shape variant of our model. We compare our models with different marginal distributions and copulæ to 40 well-established GARCH variants (4 distributions, 10 volatility dynamics) by backtesting them on a sample of S&P500 daily data.  Our models with dynamic scale parameters but without jumps perform better both in sample (by Akaike information criterion) and out of sample (by VaR forecast quality measures).  Using the best-performing model, we reveal some aspects of returns behaviour, including extremely asymmetric reaction of volatility and skewness to shocks. We show that the independence assumption for signed shocks does not hold: models with correlated shocks perform better, a correlationis dynamic and a leverage-like effect seems to be present in it. Conditional skewness behaviour reveals naive investors’ expectations. Preliminary results for models with jumps show that introduction of discrete jumps does not improve the model performance, however, negative jumps have greater sizes and occur more frequently.

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