BOOSTING UNDER QUANTILE REGRESSION – CAN WE USE IT FOR MARKET RISK EVALUATION?
BOOSTING UNDER QUANTILE REGRESSION – CAN WE USE IT FOR MARKET RISK EVALUATION?
Author(s): Katarzyna Bień-BarkowskaSubject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: boosting; quantile regression; GARCH models; value-at-risk
Summary/Abstract: We consider boosting, i.e. one of popular statistical machine-learning meta-algorithms, as a possible tool for combining individual volatility estimates under a quantile regression (QR) framework. Short empirical exercise is carried out for the S&P500 daily return series in the period of 2004-2009. Our initial findings show that this novel approach is very promising and the in-sample goodness-of-fit of the QR model is very good. However much further research should be conducted as far as the out-of-sample quality of conditional quantile predictions is concerned.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 1
- Page Range: 7-17
- Page Count: 11
- Language: English