RCA models: Joint prediction of mean and volatility

Y. Liang, A. Thavaneswaran and N. Ravishanker

Statistics & Probability Letters, 2013, vol. 83, issue 2, 527-533

Abstract: This paper first describes moment properties for Random Coefficient Autoregressive (RCA) processes and the corresponding squared processes, and then studies joint prediction of the mean and volatility. Recursive estimates based on estimating functions are used to compute joint predictions for volumes of the NASDAQ index.

Keywords: Financial data; Random coefficient autoregressions; Recursive estimation; Spectral density; Squared process (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:2:p:527-533

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DOI: 10.1016/j.spl.2012.10.031

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