Description

• Title:
  Forecasting properties of the RCA models family
• Creator:
  Górka, Joanna
• Description:
  This paper proposes to use the following models: RCA, RCA-MA, RCA- -GARCH, Sign RCA, Sign RCA-MA and Sign RCA-GARCH to obtain forecasts of conditional mean of returns. For comparison, the forecasts of conditional mean from ARMA-GARCH models were calculated, and also forecast errors and direction quality measures were added. It was showed that the RCA models can be useful in calculating the conditional mean when the ARMA-GARCH model can not be built.;
  W niniejszym opracowaniu zaproponowano użycie modeli klasy RCA (RCA, RCA-GARCH, RCA-MA, Sign RCA, Sign RCA-MA i Sign RCA-GARCH) do otrzymania prognoz warunkowej średniej dla stóp zwrotu. Dla porównania wyznaczono prognozy na podstawie modelu klasy ARMA-GARCH, obliczono błędy prognoz ex post oraz miary kierunku zgodności. Modele klasy RCA mogą być przydatne do wyznaczenia warunkowej średniej, wówczas gdy nie jesteśmy w stanie zbudować modelu ARMA- -GARCH.
• Object availability:
  free access
• Date:
  2009.07.28
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  Polish
• Source:
  Acta Universitatis Nicolai Copernici Ekonomia; Tom 40 (2009); 75-86;
  2392-1269;
  2080-0339
• Format:
  application/pdf
• Publisher:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relation: https://apcz.umk.pl/AUNC_EKON/article/view/AUNC_ECON.2009.007/4142
• Subject:
  RCA;
  Sign RCA;
  RCA-MA;
  Sign RCA-MA;
  RCA-GARCH;
  Sign RCA-GARCH;
  prognozowanie;
  błędy prognoz;
  Sign RCA -GARCH;
  forecasting;
  forecast errors
• Identifier: https://apcz.umk.pl/AUNC_EKON/article/view/AUNC_ECON.2009.007
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text