Geodesic
The JLS model with ARMA/GARCH errors
Ars Mathematica Contemporanea, Tome 13 (2017) no. 1, pp. 63-79.

Voir la notice de l'article provenant de la source Ars Mathematica Contemporanea website

Prior to crashes, the stock index price time series is characterised by the Log-Periodic Power Law (LPPL) equation of the Johansen–Ledoit–Sornette (JLS) model, which leads to a critical point indicating a change to a new market regime. In this paper, we describe the hierarchical diamond lattice, upon which the JLS model is derived, using the diamond lattice operation Di and derive the recursion for the coefficients of the growth function in a diamond lattice rooted at the main root vertex rm. Further, to verify the adequacy of the JLS model, we analyse the model’s residuals and propose its generalization, using the ARMA/GARCH error model. We determine the ARMA/GARCH orders using the extended autocorrelation function (EACF) method and compare the results with those of the Akaike and Bayesian Information Criteria. Using the data for 33 major world stock indices we show, that proposed generalization of the JLS model in general performs better in predicting the market regime changes and has also the ability to recognise false bubble identification, indicated by the JLS model.
DOI : 10.26493/1855-3974.746.dab
Keywords: Graph operations, hierarchical diamond lattice, JLS model, financial bubbles and crashes, ARMA/GARCH errors 
@article{10_26493_1855_3974_746_dab,
     author = {\v{S}pela Jezernik \v{S}irca and Matja\v{z} Omladi\v{c}},
     title = {The {JLS} model with {ARMA/GARCH} errors},
     journal = {Ars Mathematica Contemporanea},
     pages = {63--79},
     publisher = {mathdoc},
     volume = {13},
     number = {1},
     year = {2017},
     doi = {10.26493/1855-3974.746.dab},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.26493/1855-3974.746.dab/}
}
TY  - JOUR
AU  - Špela Jezernik Širca
AU  - Matjaž Omladič
TI  - The JLS model with ARMA/GARCH errors
JO  - Ars Mathematica Contemporanea
PY  - 2017
SP  - 63
EP  - 79
VL  - 13
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.26493/1855-3974.746.dab/
DO  - 10.26493/1855-3974.746.dab
LA  - en
ID  - 10_26493_1855_3974_746_dab
ER  - 
%0 Journal Article
%A Špela Jezernik Širca
%A Matjaž Omladič
%T The JLS model with ARMA/GARCH errors
%J Ars Mathematica Contemporanea
%D 2017
%P 63-79
%V 13
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.26493/1855-3974.746.dab/
%R 10.26493/1855-3974.746.dab
%G en
%F 10_26493_1855_3974_746_dab
Špela Jezernik Širca; Matjaž Omladič. The JLS model with ARMA/GARCH errors. Ars Mathematica Contemporanea, Tome 13 (2017) no. 1, pp. 63-79. doi : 10.26493/1855-3974.746.dab. http://geodesic.mathdoc.fr/articles/10.26493/1855-3974.746.dab/

Cité par Sources :