A Range-Based GARCH Model for Forecasting Volatility

A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the Realized Volatility that requires a large amount of intra-daily data, which remain relatively costly and are not readily available. The estimates of the GARCH-PARK-R model are derived using the Quasi-Maximum Likelihood Estimation (QMLE). The results suggest that the GARCH-PARK-R model is a good middle ground between intra-daily models, such as the Realized Volatility and inter-daily models, such as the ARCH class. The forecasting performance of the models is evaluated using the daily Philippine Peso-U.S. Dollar exchange rate from January 1997 to December 2003.Volatility, Parkinson Range, GARCH-PARK-R, QMLE

Measuring market risk using extreme value theory

The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk. In this paper, two VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory: (1) static EVT model which is the straightforward application of POT to the bond benchmark rates; and (2) dynamic EVT model which applies POT to the residuals of the fitted AR-GARCH model. The results are compared with traditional VaR methods such as RiskMetrics and AR-GARCH-type models. The relative size, accuracy and efficiency of the models are assessed using mean relative bias, backtesting, likelihood ratio tests, loss function, mean relative scaled bias and computation of market risk charge. Findings show that the dynamic EVT model can capture market risk conservatively, accurately and efficiently. It is also practical to use because it has the potential to lower a bank’s capital requirements. Comparing the two EVT models, the dynamic model is better than static as the former can address some issues in risk measurement and effectively capture market risks.extreme value theory, peaks-over-threshold, value-at-risk, market risk, risk management

Deubiquitinating Proteases in Plasmodium falciparum

Plasmodium falciparum is the blood-borne parasite responsible for the deadliest form of human malaria, a disease that kills up to two million people each year (1). Lack of effective vaccines and continued emergence of resistant strains demands the development of novel therapeutics for this continued global health problem (2, 3). In an effort to discover new drugs, we are investigating parasite expressed proteases of the ubiquitin-proteasome system as potential targets of therapeutic intervention. The ubiquitin-proteasome system regulates protein levels in all eukaryotic cells by covalent modification of protein substrates by ubiquitin and their subsequent direction to the proteasome for degradation (6). DUBs are proteases responsible for hydrolyzing the protein-ubiquitin bond; thus participating in multiple ubiquitin-related processes such as ubiquitin recycling and ubiquitin processing. Due to the increasing promise of proteases as drug targets for a variety of diseases and the importance of the ubiquitin-proteasome pathway in eukaryotes, we are interested in P. falciparum deubiquitinating proteases (PfDUBs) as putative drug targets (9). Seventeen DUBs have recently been identified in the P. falciparum genome (11). Using BLASTP homology searching, we have determined that the DUBs USP14, UCH-L5, and POH1 appear to be conserved in P. falciparum. These three DUBs are known to associate with the proteasome in mammalian cells and we hypothesize that in P. falciparum, they serve a role in ubiquitin recycling through the removal of ubiquitin from protein substrates prior to entering the proteasome for degradation (21, 22, 24). Since the presence of monomeric ubiquitin is necessary for the initial conjugation of ubiquitin to substrates, disruption of ubiquitin recycling may deplete the necessary pools of monomeric ubiquitin. To validate the essentiality of these three PfDUBs, we have used molecular genetic techniques to insert onto the end of their coding regions a sequence encoding a gene that allows us to attenuate the expression of the resulting fusion protein. Regardless of protein attenuation, we show that parasite death occurs in minimal media as a result of the C-terminal modification of either PfUSP14 or PfPOH1. Contrary to our model, attenuation of these PfDUBs did not appreciably deplete monomeric ubiquitin; however the parasites do appear to show a possible stress-related response. In addition to our essentiality studies, we have biochemically characterized PfUCH-L5 by tagging it with a hemagglutinin (HA) epitope tag. We have immunoprecipitated PfUCH-L5-HA, assayed for deubiquitinating activity, and assessed its biochemical properties.A three-year embargo was granted for this item

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in investments. A procedure of estimating value-at-risk using time-varying conditional Johnson SU¬ distribution is introduced and assessed with econometric models. The Johnson distribution offers the ability to model higher parameters with time-varying structure using maximum likelihood estimation techniques. Two procedures of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine-foreign exchange rates and the Philippine stock exchange index. They were assessed with forecast evaluation measures with comparison to different value-at-risk methodologies. The research opens up modeling procedures where manipulation of higher parameters can be integrated in the value-at-risk methodology.Time Varying Parameters; GARCH models; Nonnormal distributions; Risk Management

Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region

This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the daily closing stock market indices of Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, and Taiwan to compute for time-varying weights associated with the volatilities of individual indices. These weights and the returns of the various indices were then used to determine the common component of stock market returns. Our results suggest that a common component of the Asia-Pacific stock market returns exists, which significantly explains the individual country’s stock market returns. We also find that stock markets of Korea and Hong Kong are the two most sensitive to changes in the common component stock returns, while China’s stock market is the least sensitive.Common Component, Volatility, GARCH model

Population Dynamics and Household Saving: Evidence from the Philippines

The economic growth implications due to changes in the nation’s age structure have been substantial. In the course of the demographic transition, countries experience an increasing share of the working age population relative to the total population and this creates favorable effects on economic growth. The changing age structure also influences household saving rate. This paper looks at the role of the slow demographic transition in the Philippines to its aggregate household saving rate using panel data from the Family Income and Expenditure Survey (1985 to 2003). It is known for a fact that household saving rate in the Philippines is one of the lowest in East Asia. The econometric model is based on the augmented life cycle model and the results suggest that the country’s population dynamics plays an important role in its household saving rate. The Philippines rapid population growth creates a big bulge in the lower portion of the age pyramid that resulted in a higher percentage of young dependents. This suggests that the country is paying a high price for its high population growth resulting to low saving rate and consequently, low economic growth. The results also show that remittance from migrant workers is a major source of aggregate household saving.Demographic Transition, Saving Rate

Robustness Procedures in Economic Growth Regression Models

A central question for empirical economics, particularly economic growth, is which explanatory variables to include and exclude in the regressions. This paper aims to identify variables strongly correlated with provincial income growth in the Philippines by applying robustness procedures in determining which variables are strongly correlated with income growth. The extreme bound analysis (EBA) and Bayesian Averaging of Classical Estimates (BACE) were applied to fifteen determinants of income growth from a data set consisting of 74 Philippine provinces for the period 1985 to 2003 to test which among the explanatory variables are strongly correlated to growth. The tests show that among the fifteen variables, five variables stand out as being robust. The log of initial income, the ARMM indicator, the expenditure GINI and its square and the proportion of young dependents are all considered as strongly correlated to growth.Robust, Extreme Bound Analysis (EBA), Bayesian Averaging of Classical Estimates (BACE)

The Efficacy of Performance-Based Pay in Selected County Governments: What Motivates Adoption and is it Achieving what was Expected?

This exploratory study examines the degree to which counties had carefully thought-out motivations for the adoption of performance pay systems, the degree to which they were using objective measures to gauge whether it was achieving those objectives, and the degree to which they believed it was achieving its intended objectives. Results indicated that adopting a performance pay system is not something to be entertained lightly. It requires more work, more discipline, more managerial courage, more training, more support, and will cause more heated internal conversations about compensation than more traditional compensation system alternatives. It is equally clear that traditional compensation systems create more rewards for those doing the least effort and for those doing the least to advance an organization’s mission than a performance pay system. The traditional system relies almost exclusively on the intrinsic motivation of employees who seek employ in the public service. A well-crafted and executed performance management system that incorporates best management practices designed to thoroughly and constantly review the system’s efficacy and fairness, coupled with a market-driven performance pay system, coupled with a robust set of additional strategies to create a high quality of employee worklife (recognition programs, tenure recognition and other similar environmental programs) does have the potential to create a higher-performing, more mission-driven focus linking employee performance to organizational results. But, if an organization cannot or will not make the necessary investments for all of that to be true, a poorly administered system will do more harm than good

Waste Scavenging and Its Contribution for Survival and Urban Recycling in Kota Kinabalu City, Sabah, Malaysia

 High generation of solid waste has been identified as one factor contributing to the world’s environmental problems, and the decrease in suitable landfill sites and scarcity of natural resources is creating greater demand for remanufacturing and reuse. This study aims to examine the contribution and issues embedded in scavengers group to achieved high rate of recycling in waste management program. In order to answer the research objective, this research utilized in-depth interviews conducted with scavengers group. This study revealed scavenging activity is an important element in waste management with positive impact on the economic and environment. Therefore, to support this, the scavengers group need to be part of the government’s attempt to realise its recycling objectives

Identification of Deubiquitinating Enzymes that Control the Cell Cycle in Saccharomyces cerevisiae

A large fraction of the proteome displays cell cycle-dependent expression, which is important for cells to accurately grow and divide. Cyclical protein expression requires protein degradation via the ubiquitin proteasome system (UPS), and several ubiquitin ligases (E3) have established roles in this regulation. Less is understood about the roles of deubiquitinating enzymes (DUB), which antagonize E3 activity. A few DUBs have been shown to interact with and deubiquitinate cell cycle-regulatory E3s and their protein substrates, suggesting DUBs play key roles in cell cycle control. However, in vitro studies and characterization of individual DUB deletion strains in yeast suggest that these enzymes are highly redundant, making it difficult to identify their in vivo substrates and therefore fully understand their functions in the cell. To determine if DUBs play a role in the cell cycle, I performed a screen to identify specific DUB targets in vivo and then explored how these interactions contribute to cell cycle control. I conducted an in vivo overexpression screen to identify specific substrates of DUBs from a sample of UPS-regulated proteins and I determined that DUBs regulate different subsets of targets, confirming they display specificity in vivo. Five DUBs regulated the largest number of substrates, with Ubp10 stabilizing 40% of the proteins tested. Deletion of Ubp10 delayed the G1-S transition and reduced expression of Dbf4, a regulatory subunit of Cdc7 kinase, demonstrating Ubp10 is important for progression into S-phase. We hypothesized that compound deletion strains of these five DUBs would be deficient in key cellular processes because they regulated the largest number of cell cycle proteins from our screen. I performed genetic analysis to determine if redundancies exist between these DUBs. Our results indicate that most individual and combination deletion strains do not have impaired proliferation, with the exception of cells lacking UBP10. However, I observed negative interactions in some combinations when cells were challenged by different stressors. This implies the DUB network may activate redundant pathways only upon certain environmental conditions. While deletion of UBP10 impaired proliferation under standard growth conditions, I discovered that deletion of the proteasome-regulatory DUBs Ubp6 or Ubp14 rescues the cell cycle defect inubp10∆ cells. This suggests in the absence of Ubp10 substrates such as Dbf4 are rapidly degraded by the proteasome, but deletion of proteasome-associated DUBs restores cell cycle progression. Our work demonstrates that in unperturbed cells DUBs display specificity for their substrates in vivo and that a coordination of DUB activities promotes cell cycle progression