A Study on Time-Varying Quantile and Its Applications

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A Study on Time-Varying Quantile and Its
Applications

• Breno de Andrade Pinheiro Néri
• Luiz Renato Regis de Oliveira Lima
• Thesis Advisor
• Master Degree Thesis
• Graduate School of Economics (EPGE)
• Getúlio Vargas Foundation (FGV)

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Two Papers

• Omitted Asymmetric Persistence and Conditional
  Heteroskedasticity, Economics Bulletin Vol. 3,
  2006.
• Comparing Value-at-Risk Methodologies.

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Omitted Asymmetric Persistence and Conditional
Heteroskedasticity
Introduction Model Monte
Carlo Exercise Conclusion

• Asymmetric Dynamics induces an ARCH effect.
• LM-ARCH Test has power against it.
• Test for symmetry has correct size under the
  presence of ARCH.

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The Econometric ModelQAR(p)
Introduction Model Monte
Carlo Exercise Conclusion
Koenker and Xiao, 2004
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The Econometric ModelQAR(p)
Introduction Model Monte
Carlo Exercise Conclusion
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The Econometric ModelQAR(p)
Introduction Model Monte
Carlo Exercise Conclusion
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The Econometric ModelQAR(p)
Introduction Model Monte
Carlo Exercise Conclusion
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Monte Carlo SimulationSizes of 5 Tests, 10000
Replications
Introduction Model Monte
Carlo Exercise Conclusion
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SP 500Critical Value at 5 2.140
Introduction Model Monte
Carlo Exercise Conclusion
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SP 500Critical Value at 5 2.140
Introduction Model Monte
Carlo Exercise Conclusion

• Asymmetric Dynamics induces an ARCH effect.
• LM-ARCH Test has power against it.
• Test for symmetry has correct size under the
  presence of ARCH.

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Thank You!

• Breno de Andrade Pinheiro Néri
• Master Degree Thesis
• Graduate School of Economics (EPGE)
• Getúlio Vargas Foundation (FGV)