Comparative Bayesian Analysis of GARCH and Stochastic Volatility Models using R and Stan

This study uses modelling and model comparison to compare three widely used GARCH models with their stochastic volatility (SV) counterparts in modelling the dynamics of inflation rates using the Bayesian approach. BRICS country consumer price index (CPI) data are used to assess these models. We find that the stochastic volatility models perform better than the GARCH models most of the time. The stochastic volatility in the leverage (SV-L) model is also demonstrated to be the most effective for the BRICS nations that we took into consideration. The article also looks at which model attributes are crucial in simulating inflation rates. It turns out that when modelling inflation rates, inflation volatility feedback is an important component to take into account. For each of the five countries we took into consideration, SV-L outperforms all other models. The study was done in rstan, a programming language for statistical inference, and the simulation uses the Hamiltonian Monte Carlo (HMC) algorithm of the Markov chain Monte Carlo (MCMC) to sample from the posterior distribution

Forecasting Indian Goods and Services Tax revenue using TBATS, ETS, Neural Networks, and hybrid time series models

AbstractThis study focuses on the crucial task of forecasting tax revenue for India, specifically the Goods and Services Tax (GST), which plays a pivotal role in fiscal spending and taxation policymaking. Practically, the GST time series datasets exhibit linear and non-linear fluctuations due to the dynamic economic environment, changes in tax rates and tax base, and tax non-compliance, posing challenges for accurate forecasting. Traditional time-series forecasting methods like ARIMA, assuming linearity, often yield inaccurate results. To address this, we explore alternative forecasting models, including Trigonometric Seasonality Box-Cox Transformation ARIMA errors Trend Seasonal components (TBATS) and Neural Networks: Artificial Neural Networks (ANN), Neural Networks for Autoregression (NNAR), which capture both linear and non-linear relationships. First, we test single time series models like Exponential Smoothing (ETS), TBATS, ANN, and NNAR. Second, we also test hybrid models combining linear models, non-linear models, and neural network models. The findings reveal that the Hybrid Theta-TBATS model offers superior forecasting accuracy, challenging recent research favouring neural network models. The study highlights the effectiveness of advanced non-linear models, particularly TBATS and its hybridisations with linear models, in GST revenue forecasting. Our study also found that the single TBATS is the second-best model, which offers better forecasting accuracy. These insights have significant implications for policymakers and researchers in taxation and fiscal planning, emphasising the need to incorporate non-linear dynamics and advanced modelling techniques to enhance the accuracy of GST revenue forecasts

Modeling high-frequency financial data using R and Stan: A bayesian autoregressive conditional duration approach

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets. In this work, our goal is to devise testing that will aid in the identification of the best potential duration model among a set of four models using Bayesian approach. We test three models that rely on conditional mean duration (Weibull ACD, Log Weibull ACD, Generalized Gamma ACD) and one conditional median duration model (Birnbaum-Saunders ACD), and are being compared each other. The study was done in Rstan, a programming language for statistical inference, and the simulation uses the Hamiltonian Monte Carlo (HMC) algorithm of Markov Chain Monte Carlo (MCMC) to sample from the posterior distribution. Our findings show that Log Weibull ACD (second-generation model) as best among the four models followed by Birnbaum-Saunders ACD (third-generation model). The result offers methodological implications for algorithmic trading (algo-trading), high-frequency trading and risk management

Co-infection and ICU-acquired infection in COIVD-19 ICU patients: a secondary analysis of the UNITE-COVID data set

Background: The COVID-19 pandemic presented major challenges for critical care facilities worldwide. Infections which develop alongside or subsequent to viral pneumonitis are a challenge under sporadic and pandemic conditions; however, data have suggested that patterns of these differ between COVID-19 and other viral pneumonitides. This secondary analysis aimed to explore patterns of co-infection and intensive care unit-acquired infections (ICU-AI) and the relationship to use of corticosteroids in a large, international cohort of critically ill COVID-19 patients.Methods: This is a multicenter, international, observational study, including adult patients with PCR-confirmed COVID-19 diagnosis admitted to ICUs at the peak of wave one of COVID-19 (February 15th to May 15th, 2020). Data collected included investigator-assessed co-infection at ICU admission, infection acquired in ICU, infection with multi-drug resistant organisms (MDRO) and antibiotic use. Frequencies were compared by Pearson's Chi-squared and continuous variables by Mann-Whitney U test. Propensity score matching for variables associated with ICU-acquired infection was undertaken using R library MatchIT using the "full" matching method.Results: Data were available from 4994 patients. Bacterial co-infection at admission was detected in 716 patients (14%), whilst 85% of patients received antibiotics at that stage. ICU-AI developed in 2715 (54%). The most common ICU-AI was bacterial pneumonia (44% of infections), whilst 9% of patients developed fungal pneumonia; 25% of infections involved MDRO. Patients developing infections in ICU had greater antimicrobial exposure than those without such infections. Incident density (ICU-AI per 1000 ICU days) was in considerable excess of reports from pre-pandemic surveillance. Corticosteroid use was heterogenous between ICUs. In univariate analysis, 58% of patients receiving corticosteroids and 43% of those not receiving steroids developed ICU-AI. Adjusting for potential confounders in the propensity-matched cohort, 71% of patients receiving corticosteroids developed ICU-AI vs 52% of those not receiving corticosteroids. Duration of corticosteroid therapy was also associated with development of ICU-AI and infection with an MDRO.Conclusions: In patients with severe COVID-19 in the first wave, co-infection at admission to ICU was relatively rare but antibiotic use was in substantial excess to that indication. ICU-AI were common and were significantly associated with use of corticosteroids

Clinical and organizational factors associated with mortality during the peak of first COVID-19 wave : the global UNITE-COVID study

Purpose To accommodate the unprecedented number of critically ill patients with pneumonia caused by coronavirus disease 2019 (COVID-19) expansion of the capacity of intensive care unit (ICU) to clinical areas not previously used for critical care was necessary. We describe the global burden of COVID-19 admissions and the clinical and organizational characteristics associated with outcomes in critically ill COVID-19 patients. Methods Multicenter, international, point prevalence study, including adult patients with SARS-CoV-2 infection confirmed by polymerase chain reaction (PCR) and a diagnosis of COVID-19 admitted to ICU between February 15th and May 15th, 2020. Results 4994 patients from 280 ICUs in 46 countries were included. Included ICUs increased their total capacity from 4931 to 7630 beds, deploying personnel from other areas. Overall, 1986 (39.8%) patients were admitted to surge capacity beds. Invasive ventilation at admission was present in 2325 (46.5%) patients and was required during ICU stay in 85.8% of patients. 60-day mortality was 33.9% (IQR across units: 20%-50%) and ICU mortality 32.7%. Older age, invasive mechanical ventilation, and acute kidney injury (AKI) were associated with increased mortality. These associations were also confirmed specifically in mechanically ventilated patients. Admission to surge capacity beds was not associated with mortality, even after controlling for other factors. Conclusions ICUs responded to the increase in COVID-19 patients by increasing bed availability and staff, admitting up to 40% of patients in surge capacity beds. Although mortality in this population was high, admission to a surge capacity bed was not associated with increased mortality. Older age, invasive mechanical ventilation, and AKI were identified as the strongest predictors of mortality