IDEAS home Printed from https://ideas.repec.org/a/aic/revebs/y2010i6ksaiera.html
   My bibliography  Save this article

Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility

Author

Listed:
  • Ahmed KSAIER

    () (University of Nice Sophia-Antipolis, France)

  • Isabelle CRISTIANI-D’ORNANO

    () (University of Nice Sophia-Antipolis, France)

Abstract

We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of risk measure, we have evaluated their interdependencies from a VAR model, we have investigated the presence of long memory phenomenon in these series and we have carried out their forecasted trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility, Section 2 examines the interdependence of the studied markets; Section 3 provides a FIGARCH model in order to capture the dynamics and predict future market volatilities changes and Section 4 concludes."

Suggested Citation

  • Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO, 2010. "Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 6, pages 145-166, December.
  • Handle: RePEc:aic:revebs:y:2010:i:6:ksaiera
    as

    Download full text from publisher

    File URL: http://rebs.ro/resource/Rebs_6/Research%20Paper/KSAIER,%20A,%20CRISTIANI-DORNANO,I-INTERDEPENDENCE%20AND%20FORECASTING%20OF%20SP500.pdf
    Download Restriction: no

    More about this item

    Keywords

    Volatility; Long Memory; FIGARCH; Forecasting;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aic:revebs:y:2010:i:6:ksaiera. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sireteanu Napoleon-Alexandru). General contact details of provider: http://edirc.repec.org/data/feaicro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.