’North-East Volatility Wind’ Effect

13th Conference on Applied Mathematics (APLIMAT 2014): Book of Abstracts 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.

Atslēgas vārdi
’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
Hipersaite
http://evlm.stuba.sk/APLIMAT/indexe.htm

Pučkovs, A., Matvejevs, A. ’North-East Volatility Wind’ Effect. No: 13th Conference on Applied Mathematics (APLIMAT 2014): Book of Abstracts, Slovākija, Bratislava, 4.-6. februāris, 2014. Bratislava: 2014, 67.-67.lpp. ISBN 978-80-227-4139-2.

Publikācijas valoda
English (en)