BOOSTING UNDER QUANTILE REGRESSION – CAN WE USE IT FOR MARKET RISK EVALUATION?

• Authors: Katarzyna Bień-Barkowska
• Languages of publication: EN

Abstracts

We consider boosting, i.e. one of popular statistical machine-learning meta-algorithms, as a possible tool for combining individual volatility estimates under a quantile regression (QR) framework. Short empirical exercise is carried out for the S&P500 daily return series in the period of 2004-2009. Our initial findings show that this novel approach is very promising and the in-sample goodness-of-fit of the QR model is very good. However much further research should be conducted as far as the out-of-sample quality of conditional quantile predictions is concerned.

Keywords

EN

Boosting; quantile regression; GARCH models; value-at-risk

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 1
• Pages: 7-17

Dates

published

2014

Contributors

author

Katarzyna Bień-Barkowska

• Institute of Econometrics, Warsaw School of Economics

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