’Northeast Volatility Wind’ Effect

Aplimat Journal 2014
Andrejs Pučkovs, Andrejs Matvejevs

This paper describes volatility forecasting approach applicable for stock indexes, allowing to reveal the instability of financial time series initially. This approach is based on time series (signal) decomposition into components by using wavelet filtering with subsequent volatility evolution research of each signal component. According to research, a slight increase in volatility in the low-frequency components of the signal leads to significant disturbances in high-frequency components destine entire signal volatility growth.

Keywords
’North-East Volatility Wind’ Effect, Wavelet filtering, Direct Continuous wavelet transform (Direct CWT), Inverse Continuous wavelet transform (Inverse CWT), Signal Decomposition, Volatility evolution, Disturbances transmission, Time Series, Stock Index
Hyperlink
http://www.journal.aplimat.com/

Pučkovs, A., Matvejevs, A. ’Northeast Volatility Wind’ Effect. Aplimat Journal, 2014, Vol.6, pp.324-339. ISSN 1337-6365.

Publication language
English (en)