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Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices

Author

Listed:
  • Francois-Éric Racicot

    (Département des sciences administratives, Université du Québec (Outaouais))

  • Raymond Théoret

    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

The popularity of Kalman filter is increasing in financial studies, notably to estimate diffusion processes. In this article, we show how we can use it to forecast the volatility of returns and the price-earnings ratio of the S&P500. The Kalman filter is consequently very versatile when variables, as volatility or forecasted price-earnings ratio, are unobserved. But the forecaster must use his judgment when he uses the Kalman filter. An error of specification in the model may give way to very biased forecasts.

Suggested Citation

  • Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:0312005
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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/articlefiltredekalman.pdf
    File Function: First version, 2005
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    References listed on IDEAS

    as
    1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    2. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien [Estimated Changes in Prices of Coffee and Coc," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.
    2. Nathaniel Gbenro & Aka Jerôme Koffi, 2011. "Estimation du changement des cours du café et du cacao : Filtre HPMV, filtre de Kalman et MS-VAR," Working Papers hal-01510780, HAL.
    3. Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, issue 114, pages 29-68.

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    More about this item

    Keywords

    Kalman filter; diffusion processes; financial forecasting; financial econometrics.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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