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An empirical evaluation of structural changes in quantile autoregressive models

This work proposes an evaluation on a subgradient test for structural change and on the usual coverage tests to evaluate Value at Risk (VaR) estimates, obtained by quantile regression. In an initial analysis, exchange-traded funds returns were evaluated during the United States subprime mortgage cri...

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Main Author: SANTOS, Yuri Martí Santana
Other Authors: OSPINA, Raydonal
Format: masterThesis
Language: eng
Published: Universidade Federal de Pernambuco 2019
Subjects:
Crise do subprime
Regressão quantílica
Mudança estrutural
Online Access: https://repositorio.ufpe.br/handle/123456789/33751
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spelling ir-123456789-337512019-10-26T06:02:34Z An empirical evaluation of structural changes in quantile autoregressive models SANTOS, Yuri Martí Santana OSPINA, Raydonal SILVA, Wilton Bernardino da http://lattes.cnpq.br/4743878937067948 http://lattes.cnpq.br/6357960802605841 Crise do subprime Regressão quantílica Mudança estrutural This work proposes an evaluation on a subgradient test for structural change and on the usual coverage tests to evaluate Value at Risk (VaR) estimates, obtained by quantile regression. In an initial analysis, exchange-traded funds returns were evaluated during the United States subprime mortgage crisis. This task was performed with aid of a subgradient test for structural change (Qu), which allows us to evaluate whether the parameter values remain stable throughout the series and in a generalized moments method based duration test (GMM) for coverage evaluation. The empirical results shown break dates in the 5%-quantiles few days before the Lehman Brothers bankruptcy event. Motivated by the empirical results, simulation studies using heteroscedastic autoregressive processes were performed under different scenarios with and without structural breaks. The simulation studies show that the structural change test is capable of detecting breaks quite accurately. However, the usual VaR coverage tests are conservative. CAPES Este trabalho propõe uma avaliação em um teste subgradiente para mudança estrutural e dos testes de cobertura usuais para avaliação das estimativas de Valor em Risco (VaR), obtidas por regressão quantílica. Em uma análise inicial, retornos de exchange-traded funds foram avaliados durante a crise do subprime nos Estados Unidos. Esta tarefa foi realizada com ajuda do teste de quebra estrutural subgradiante (Qu), que permite avaliar se os valores dos parametros permanecem estáveis durante toda a série e o método dos momentos generalizados baseados na duração (GMM) para a avaliação da cobertura. Os resultados empíricos mostram datas de quebra no quantil 5% poucos dias antes do evento da falência do Lehman Brothers. Motivados pelos resultados empíricos obtidos, estudos de simulação utilizando processos autoregressivos heteroscedásticos foram realizados sob diferentes cenários com e sem quebras estruturais,. Os estudos de simulação evidenciam que o teste mudança estrutural é capaz de detectar quebras com bastante precisão. Entretanto, os teste usuais de cobertura do VaR mostram-se conservativos. 2019-09-26T18:55:38Z 2019-09-26T18:55:38Z 2019-02-28 masterThesis https://repositorio.ufpe.br/handle/123456789/33751 eng embargoedAccess Attribution-NonCommercial-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nc-nd/3.0/br/ application/pdf Universidade Federal de Pernambuco UFPE Brasil Programa de Pos Graduacao em Estatistica
institution REPOSITORIO UFPE
collection REPOSITORIO UFPE
language eng
topic Crise do subprime
Regressão quantílica
Mudança estrutural
spellingShingle Crise do subprime
Regressão quantílica
Mudança estrutural
SANTOS, Yuri Martí Santana
An empirical evaluation of structural changes in quantile autoregressive models
description This work proposes an evaluation on a subgradient test for structural change and on the usual coverage tests to evaluate Value at Risk (VaR) estimates, obtained by quantile regression. In an initial analysis, exchange-traded funds returns were evaluated during the United States subprime mortgage crisis. This task was performed with aid of a subgradient test for structural change (Qu), which allows us to evaluate whether the parameter values remain stable throughout the series and in a generalized moments method based duration test (GMM) for coverage evaluation. The empirical results shown break dates in the 5%-quantiles few days before the Lehman Brothers bankruptcy event. Motivated by the empirical results, simulation studies using heteroscedastic autoregressive processes were performed under different scenarios with and without structural breaks. The simulation studies show that the structural change test is capable of detecting breaks quite accurately. However, the usual VaR coverage tests are conservative.
author2 OSPINA, Raydonal
format masterThesis
author SANTOS, Yuri Martí Santana
author_sort SANTOS, Yuri Martí Santana
title An empirical evaluation of structural changes in quantile autoregressive models
title_short An empirical evaluation of structural changes in quantile autoregressive models
title_full An empirical evaluation of structural changes in quantile autoregressive models
title_fullStr An empirical evaluation of structural changes in quantile autoregressive models
title_full_unstemmed An empirical evaluation of structural changes in quantile autoregressive models
title_sort empirical evaluation of structural changes in quantile autoregressive models
publisher Universidade Federal de Pernambuco
publishDate 2019
url https://repositorio.ufpe.br/handle/123456789/33751
_version_ 1648654681141936128
score 13.657419

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