Endogenous Threshold Stochastic Volatility Model: An Outlook Across the Globe for Stock Market Indices

dc.contributor.advisorAbanto Valle, Carlos Antonio
dc.contributor.authorRobles Chaparro, Ronaldo Juan
dc.date.accessioned2023-09-04T16:17:35Z
dc.date.available2023-09-04T16:17:35Z
dc.date.created2023
dc.date.issued2023-09-04
dc.description.abstractAsymmetries and heavy tails are well-known characteristics on compound daily returns stock market in dices. The THSV-SMN–Threshold Stochastic Volatility Modelwith Scale Mixture of Normal Distributions– model has become an important tool for analysis regarding forecasting asset returns and Value at Risk and Expected Shortfall portfolio estimations in order to assess marketrisk.Therefore, under a Bayesian approach,we develop an extensionon the model proposed by Abanto & Garrafa(2019).This extension allows for an endogenous threshold and will be studied under two theoretical frameworks: the use of order statistics and a random walk Metropolis–Hasting algorithm(RWMH). We test themodel extension upon stock market indices across the globe along four regions (NorthAmerica, LATAM,EuropeandAsia) withour proposed RWMH algorithm and compare the results with the original (fixedthreshold) model using goodness-of-fit and error prediction criteria. Evidence shows that stock markets indices differ both within and across regions,yet in most cases the extended model outperforms the original THSV-SMN.Thus,prudence and a personalized analysis per index are strongly recommended.es_ES
dc.identifier.urihttp://hdl.handle.net/20.500.12404/25881
dc.language.isoenges_ES
dc.publisherPontificia Universidad Católica del Perúes_ES
dc.publisher.countryPEes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/2.5/pe/*
dc.subjectRiesgo (Economía)--Perúes_ES
dc.subjectModelos estocásticoses_ES
dc.subjectPronóstico de la economía--Perúes_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01es_ES
dc.titleEndogenous Threshold Stochastic Volatility Model: An Outlook Across the Globe for Stock Market Indiceses_ES
dc.typeinfo:eu-repo/semantics/masterThesises_ES
renati.advisor.dni08674886
renati.advisor.orcidhttps://orcid.org/0000-0003-0862-4152es_ES
renati.author.dni72683326
renati.discipline311317es_ES
renati.jurorRodríguez Briones, Gabriel Henderes_ES
renati.jurorAbanto Valle, Carlos Antonioes_ES
renati.jurorTrucios Maza, Carlos Césares_ES
renati.levelhttps://purl.org/pe-repo/renati/level#maestroes_ES
renati.typehttps://purl.org/pe-repo/renati/type#tesises_ES
thesis.degree.disciplineEconomíaes_ES
thesis.degree.grantorPontificia Universidad Católica del Perú. Escuela de Posgrado.es_ES
thesis.degree.levelMaestríaes_ES
thesis.degree.nameMaestro en Economíaes_ES

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