Accurate value-at-risk forecast with the (good) old normal-GARCH model

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data driven. The results for several different financial asset returns over a long out-of-sample forecasting period, as well as use of simulated data, strongly support use of the new method, and the performance is not sensitive to the choice of L. Klassifizierung: C22, C53, C63, G12Die Normalverteilung ist, entgegen ihrer hohen Verbreitung in der empirischen Finanzanalyse, im allgemeinen nicht dazu geeignet, die Renditen von Finanzmarkt-Zeitreihen adäquat zu beschreiben. Ein viel beobachtetes PhÄanomen ist insbesondere die über die Zeit variierende Volatilität der Renditen, die eine bedingte Modellierung der Renditen notwendig erscheinen läßt. Der wohl am weitesten verbreitete Ansatz um solche Volatilitätsschwankungen zu modellieren ist das GARCH-Modell. Doch auch bei Berücksichtigung der VolatilitÄatschwankungen, d.h. bei bedingter Modellierung der Renditen mit Hilfe eines GARCH-Modells, ist die Normalverteilung im allgemeinen nicht dazu geeignet, die Verteilung der GARCH-gefilterten Renditen ausreichend genau zu beschreiben. Insbesondere Value-at-Risk (VaR) Prognosen sind mit dem normal-GARCH Modell im allgemeinen verzerrt, da die Normalverteilung die Enden der Rendite-Verteilung nur unzureichend beschreibt. Mögliche Auswege scheinen die Erweiterung und Modifikation der GARCH Dynamik, sowie die Verwendung anderer Verteilungen. Dies führt jedoch im allgemeinen dazu, daß diese Modelle sowohl theoretisch, als auch praktisch schwerer zu beherrschen sind. In der vorliegenden Studie entwickeln wir eine auf dem Bootstrap basierende Methode mit einem Verzerrungs-Korrektur Schritt, um die VaR Prognoseeigenschaften des normal-GARCH Modells zu verbessern. Im Vergleich zur Verwendung von komplexeren GARCH Spezifikationen und/oder Verteilungsannahmen ist diese neue Methode schnell, einfach zu implementieren, numerisch zuverlässig und (abgesehen von einer zu wählenden Fensterlänge L für den Schritt zur Korrektur der VaR-Verzerrung) vollst ndig Daten getrieben. Die vorgeschlagene Methode wird in langen out-of-sample Prognosezeiträumen auf ihre VaR Prognosefähigkeiten geprüft. Sowohl für verschiedene Finanzmarkt-Reihen, als auch für simulierte Daten, erweist sich die neue Methode als sehr gut geeignet, die VaR Prognosen der normal-GARCH Modells entscheidend zu verbessern und liefert auch im Vergleich zu komplexeren Modellen sehr gute Ergebnisse

Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data driven. The results for several different financial asset returns over a long out-of-sample forecasting period, as well as use of simulated data, strongly support use of the new method, and the performance is not sensitive to the choice of L.Bootstrap, GARCH, Value-at-Risk

The Relationship Between English Language Learners and Reading Disabilities Profiles: Language Acquisition vs. Reading Disabilities

School psychologists are asked to determine whether or not a student’s limited English proficiency affects his or her eligibly for special education services. Scores from language proficiency tests, such as the WIDA ACCESS for ELLs English Language Proficiency Test, are often the only data available that speak to a student’s language proficiency. There is little research that speaks to how scores on these tests relate to performance on diagnostic testing for special education, specifically achievement testing. In this sample of data drawn from a population of English language learners, who also qualify for special education services under the disability of specific learning disability (n=37) standardized achievement test scores and WIDA ACCESS for ELLs English Language Proficiency Test were correlated to determine if significant relationships were present. A Pearson correlation revealed that the higher reading and writing achievement subtest had the strongest relationship with reading and writing subtests on WIDA ACCESS for ELLs English Language Proficiency Test. Cross-tabulations and chi-square tests of significance were performed to identify how individuals performed on both assessments. Results suggest that an individual\u27s low score on an achievement measure is not related to a low score on a language proficiency measure

Oral History Interview: Ruby S. Hartz

Following the introduction, Mrs. Hartz relates information of an autobiographical nature. Her father\u27s farming and timber work, the family\u27s log house, her schooling and teachers are discussed. Mrs. Hartz speaks of her grandfather, who was a circuit rider, and then goes on to talk about her family\u27s move from Garretts Creek (Wayne County) to Kenova. She attended Ceredo-Kenova High School and Marshall College, graduating from each in 1927 and 1931, respectively. She taught at Ceredo- Kenova, Buffalo, and Vinson High Schools. She talks about her husband and then goes into a discussion of her life on the farm and finishes with the story about her father guarding the railroad bridge in Kenova during World War I.https://mds.marshall.edu/oral_history/1176/thumbnail.jp

Data compression techniques applied to high resolution high frame rate video technology

An investigation is presented of video data compression applied to microgravity space experiments using High Resolution High Frame Rate Video Technology (HHVT). An extensive survey of methods of video data compression, described in the open literature, was conducted. The survey examines compression methods employing digital computing. The results of the survey are presented. They include a description of each method and assessment of image degradation and video data parameters. An assessment is made of present and near term future technology for implementation of video data compression in high speed imaging system. Results of the assessment are discussed and summarized. The results of a study of a baseline HHVT video system, and approaches for implementation of video data compression, are presented. Case studies of three microgravity experiments are presented and specific compression techniques and implementations are recommended

Thermally activated retainer means utilizing shape memory alloy

A retainer member suitable for retaining a gap filler placed in gaps between adjacent tile members is presented. One edge of the retainer member may be attached to the gap filler and another edge may be provided with a plurality of tab members which in an intermediate position do not interfere with placement or removal of the gap filler between tile members. The retainer member may be fabricated from a shape memory alloy which when heated to a specified memory temperature will thermally activate the tab members to predetermined memory positions engaging the tile members to retain the gap filler in the gap. This invention has particular application to the thermal tiles on space vehicles such as the Space Shuttle Orbiter

Mortality study of 18 000 patients treated with omeprazole.

Background: The long term safety of potent gastric acid suppressive therapy has yet to be established. Method: General practice record review at a median interval of 26 months followed by retrieval of details of all deaths within four years using the UK National Health Service Central Registers in 17 936 patients prescribed omeprazole in 1993–1995. Death rates were compared with general population rates. Results: Records of 17 489 patients (97.5%) were examined. A total of 12 703 patients received further scripts for antisecretory drugs, 8097 for omeprazole only (65.6%): 3097 patients have died. All cause mortality was higher in the first year (observed/expected (O/E) 1.44 (95% confidence intervals (CI) 1.34–1.55); p<0.0001) but had fallen to population expectation by the fourth year. There were significant mortality increases in the first year, falling to or below population expectation by the fourth year, for deaths ascribed to neoplasms (1.82 (95% CI 1.58–2.08); p<0.0001), circulatory diseases (1.27 (95% CI 1.13–1.43); p<0.0001), and respiratory diseases (1.37 (95% CI 1.12–1.64); p<0.001). Increased mortality ascribed to digestive diseases (2.56 (95% CI 1.87–3.43); p<0.0001) persisted, although reduced. Increased mortality rates for cancers of the stomach (4.06 (95% CI 2.60–6.04); p<0.0001), colon and rectum (1.40 (95% CI 0.84–2.18); p=0.075), and trachea, bronchus, and lung (1.64 (95% CI 1.19–2.19); p<0.01) seen in the first year had disappeared by the fourth year but that for cancer of the oesophagus had not (O/E 7.35 (95% CI 5.20–10.09) (p<0.0001) in year 1; 2.88 (95% CI 1.62–4.79) (p<0.001) in year 4). Forty of 78 patients dying of oesophageal cancer had the disease present at registration. Twenty seven of those remaining cases had clinical evidence of Barrett’s disease, stricture, ulcer, or oesophagitis at registration (O/E 3.30 (95% CI 2.17–4.80)). Six deaths occurred in patients with hiatal hernia or reflux only (O/E 1.02 (95% CI 0.37–2.22)) and five in patients without oesophageal disease (O/E 0.77 (95% CI 0.25–1.80)). No relationships were detected with numbers of omeprazole scripts received. Conclusions: Increases in mortality associated with treatment are due to pre- existing illness, including pre-existing severe oesophageal disease. There was no evidence of an increased risk of oesophageal adenocarcinoma in those without oesophageal mucosal damage recorded at registration

Screening in Pregnancy and Fetal Medicine

Epilepsy is a common neurological disorder that affects over 70 million people worldwide. Despite the recent introduction of new antiseizure drugs (ASDs), about one-third of patients with epilepsy have seizures refractory to pharmacotherapy. Early identification of patients who will become refractory to ASDs could help direct such patients to appropriate non-pharmacological treatment, but the complexity in the temporal patterns of epilepsy could make such identification difficult. The target hypothesis and transporter hypothesis are the most cited theories trying to explain refractory epilepsy, but neither theory alone fully explains the neurobiological basis of pharmacoresistance. This review summarizes evidence for and against several major theories, including the pharmacokinetic hypothesis, neural network hypothesis, intrinsic severity hypothesis, gene variant hypothesis, target hypothesis, and transporter hypothesis. The discussion is mainly focused on the transporter hypothesis, where clinical and experimental data are discussed on multidrug transporter overexpression, substrate profiles of ASDs, mechanism of transporter upregulation, polymorphisms of transporters, and the use of transporter inhibitors. Finally, future perspectives are presented for the improvement of current hypotheses and the development of treatment strategies as guided by the current understanding of refractory epilepsy