Multivariate GARCH Models: Software Choice and Estimation Issues

A large number of important practical tasks can be accomplished using a multivariate GARCH model. This paper examines the relatively small number of software packages that are currently available for estimating such models, in spite of their widespread use. The review focuses upon estimation issues and differences in available options for controlling the optimisation, and the review then considers an application to the estimation of optimal hedge ratios. Large differences in estimated parameters and standard errors are observed, but these are found to generate only modest differences in optimal hedge ratios and virtually indiscernible differences in model performance measures.

Development and testing of a networked PC power management tool

[Abstract]: One of the major themes of this project is Personal Computer (PC) power usage, which is a significant issue as many PCs run 24 hours per day and therefore potentially waste large amounts of power. This power wastage is unfortunate given that most operating systems support hibernation. As issues such as fossil fuels, carbon footprint, global warming etc., are highly topical and politicized, energy efficiency in electrical devices is a significant issue. Additionally, through capability developments such as ‘green’ computing, virtualization, and even edge computing, the Information and Communications Technology (ICT) industry is one of the few industries that seem to be taking ecological issues seriously. The main objectives of the project are: • The research and evaluation of a number statistics that relate to PC energy consumption. • Investigation of power spikes and network traffic floods which may be caused by simultaneous PC start-up. • Development of a software tool to control the start-up and shutdown of a PC either via scheduling or manual control. • Development of a software tool that remotely controls the start-up and shutdown of either singular or grouped PCs. In addition to the aim of reducing wasted power, this project aims to improve network traffic efficiency by minimizing network traffic congestion through controlling the sequence of PC start-up in a networked environment. This controlled start-up has a secondary benefit in potentially reducing the severity of power spikes due to a simultaneous PC start-up. It is hoped that further development and testing of the ‘PowerMan’ application will provide greater program functionality. Additionally, it is envisaged that this tool could be used in conjunction with more energy efficient PCs and peripherals and therefore provide an overall package that is power efficient whatever its state of operation, with little control or interaction from the user

Augoregressive Conditional Kurtosis

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and consequently can be estimated simply using maximum likelihood. The method is applied to a set of four daily financial asset return series comprising US and UK stocks and bonds, and significant evidence in favour of the presence of autoregressive conditional kurtosis is observed. Various extensions to the basic model are examined, and show that conditional kurtosis appears to be positively but not significantly related to returns, and that the response of kurtosis to good and bad news is not significantly asymmetric. A multivariate model for conditional heteroscedasticity and conditional kurtosis, which can provide useful information on the co-movements between the higher moments of series, is also proposed.conditional kurtosis, GARCH, fourth moment, fat trails, student's t distribution

Alien Registration- Brooks, Simon W. (Castle Hill, Aroostook County)

https://digitalmaine.com/alien_docs/26341/thumbnail.jp

Selecting from amongst non–nested conditional variance models: information criteria and portfolio determination

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the empirical relevance of this property, Monte Carlo simulations are conducted for a set of non–nested data generating processes (DGPs) with the set of candidate models consisting of all types of model used as DGPs. In addition, not only is the best model considered but also those with similar values of the information criterion, called close competitors, thus forming a portfolio of eligible models. To supplement the simulations, the criteria are applied to a set of economic and financial series. In the simulations, the criteria are largely ineffective at identifying the correct model, either as best or a close competitor, the parsimonious GARCH(1, 1) model being preferred for most DGPs. In contrast, asymmetric models are generally selected to represent actual data. This leads to the conjecture that the properties of parameterizations of processes commonly used to model heteroscedastic data are more similar than may be imagined and that more attention needs to be paid to the behaviour of the standardized disturbances of such models, both in simulation exercises and in empirical modelling

Nigeria research situation analysis on orphans and other vulnerable children

This item is archived in the repository for materials published for the USAID supported Orphans and Vulnerable Children Comprehensive Action Research Project (OVC-CARE) at the Boston University Center for Global Health and Development.Addressing the needs of orphans and vulnerable children (OVC) and mitigating negative outcomes of the growing OVC population worldwide is a high priority for national governments and international stakeholders across the globe who recognize this as an issue with social, economic, and human rights dimensions. Assembling the relevant available data on OVC in one place, and acknowledging the gaps that still exist in our knowledge, will assist policy makers and program implementers to make evidence-based decisions about how best to direct funding and program activities and maximize positive outcomes for children and their caretakers.This Research Situation Analysis on OVC presents a program-focused summary of available information on: • Current policies, programs and interventions designed and implemented to assist them • Gaps in these policies, programs and interventions • OVC research conducted between 2004-2008 • Gaps in the Nigerian OVC evidence base. The Brief analyzes the available data for critical gaps in the national response and our understanding about whether current interventions are fulfilling the needs and improving the lives of vulnerable children. The report then recommends actions required to increase the knowledge base for improving the effectiveness and impact of OVC programs.The USAID | Project SEARCH, Orphans and Vulnerable Children Comprehensive Action Research (OVC-CARE) Task Order, is funded by the U.S. Agency for International Development under Contract No. GHH-I-00-07-00023-00, beginning August 1, 2008. OVC-CARE Task Order is implemented by Boston University. The opinions expressed herein are those of the authors and do not necessarily reflect the views of the funding agency

Children of female sex workers and injection drug users: a review of vulnerability, resilience, and family-centered models of care in low and middle-income countries

This item is archived in the repository for materials published for the USAID supported Orphans and Vulnerable Children Comprehensive Action Research Project (OVC-CARE) at the Boston University Center for Global Health and Development.Background: Injection drug users and female sex workers are often categorized as two of the populations most at risk for becoming infected with HIV in countries with concentrated epidemics. Many of the adults who fall into these categories in low and middle income contexts are also parents, but little is known about the vulnerabilities faced by their children, their sources of resilience, or programs providing services to these often fragile families. Methods: We reviewed the peer-reviewed and gray literature to synthesize current knowledge on the situation of these children and families, and interventions currently in place in low and middle income countries. Organizational websites and references of all relevant sources were manually searched, and key informants from service organizations were contacted by phone and email. Results: A large amount of literature assessing the vulnerability and resilience of children of drug users and alcoholics in developed countries was found. Their children can face unique risks, stigma, and discrimination, but child vulnerability and resilience are associated in the substance abuse literature with the physical and mental health of parents and family context. Research on the situation of the children of sex workers is extremely limited. Interventions have been implemented in low and middle-income contexts but they tend to be small, piecemeal, struggling to meet demand; and undocumented, and most have not been evaluated. We present preliminary descriptive data from an organization working with pregnant and new mothers who are drug users in Ukraine and an organization providing services to sex workers and their families in Zambia. Discussion: Because parents’ drug use, sex work, or same sex relationships are often illegal and hidden, identifying their children can be difficult and may increase their vulnerability and marginalization. Therefore, researchers and service providers must proceed with caution when attempting to reach this population. Promising components of family-centered care include: strengthening family caring capacity through home visitation and peer support, providing early childhood development programs and crèches or drop-in centers for children; economic strengthening and job skills training for parents. Integration of legal assistance with health and other social services is also gaining increased international attention.The USAID | Project SEARCH, Orphans and Vulnerable Children Comprehensive Action Research (OVC-CARE) Task Order, is funded by the U.S. Agency for International Development under Contract No. GHH-I-00-07-00023-00, beginning August 1, 2008. OVC-CARE Task Order is implemented by Boston University. The opinions expressed herein are those of the authors and do not necessarily reflect the views of the funding agency

The scale, scope and impact of alternative care for OVC in developing countries

This item is archived in the repository for materials published for the USAID supported Orphans and Vulnerable Children Comprehensive Action Research Project (OVC-CARE) at the Boston University Center for Global Health and Development.Over 145 million children worldwide have lost one or both parents due to various causes, 15 million of these are due to AIDS (1,2); and many more have been made vulnerable due to other causes. The global community has responded by putting in place various care arrangements for these children. However, the scale, scope and impact of these alternative care approaches have not been well summarized. The aim of this literature review is to synthesize and analyze available data on alternative care approaches and the impact of these placements on the lives of orphans and other vulnerable children. Both the short-term and long term wellbeing of a child depends a lot on where they live and the care they receive in those settings.The USAID | Project SEARCH, Orphans and Vulnerable Children Comprehensive Action Research (OVC-CARE) Task Order, is funded by the U.S. Agency for International Development under Contract No. GHH-I-00-07-00023-00, beginning August 1, 2008. OVC-CARE Task Order is implemented by Boston University. The opinions expressed herein are those of the authors and do not necessarily reflect the views of the funding agency