Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach

© Springer International Publishing Switzerland 2016. This study aims to analyze the Morgan Stanley Capital International (MSCI) world return and volatility of the healthcare price index using daily time series data. Since the data of MSCI healthcare returns cannot be described by linear models, the...

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Main Authors: Nantiworn Thianpaen, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/55586
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-555862018-09-05T02:58:11Z Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach Nantiworn Thianpaen Songsak Sriboonchitta Computer Science © Springer International Publishing Switzerland 2016. This study aims to analyze the Morgan Stanley Capital International (MSCI) world return and volatility of the healthcare price index using daily time series data. Since the data of MSCI healthcare returns cannot be described by linear models, the residual CUSUM GARCH(1,1) model is applied in this paper. The CUSUM test is used to estimate the optimal change point. The findings of this paper are (1) the estimated point is at day 1,201 of the entire daily data set of 4,209 observations; (2) if the change point is not taken into consideration, the estimated parameters of GARCH(1,1) become (Formula presented.), i.e., we encounter the “IGARCH effect”, which leads to an infinite variance for a model. The contribution of this paper is the recommendation for the analysis of the change point as the necessary condition, rather than jumping into using the whole data set to estimate all parameters of the model without testing nonlinearity, especially for financial time series data. 2018-09-05T02:58:11Z 2018-09-05T02:58:11Z 2016-01-01 Book Series 1860949X 2-s2.0-84952682939 10.1007/978-3-319-27284-9_24 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952682939&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55586
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
spellingShingle Computer Science
Nantiworn Thianpaen
Songsak Sriboonchitta
Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
description © Springer International Publishing Switzerland 2016. This study aims to analyze the Morgan Stanley Capital International (MSCI) world return and volatility of the healthcare price index using daily time series data. Since the data of MSCI healthcare returns cannot be described by linear models, the residual CUSUM GARCH(1,1) model is applied in this paper. The CUSUM test is used to estimate the optimal change point. The findings of this paper are (1) the estimated point is at day 1,201 of the entire daily data set of 4,209 observations; (2) if the change point is not taken into consideration, the estimated parameters of GARCH(1,1) become (Formula presented.), i.e., we encounter the “IGARCH effect”, which leads to an infinite variance for a model. The contribution of this paper is the recommendation for the analysis of the change point as the necessary condition, rather than jumping into using the whole data set to estimate all parameters of the model without testing nonlinearity, especially for financial time series data.
format Book Series
author Nantiworn Thianpaen
Songsak Sriboonchitta
author_facet Nantiworn Thianpaen
Songsak Sriboonchitta
author_sort Nantiworn Thianpaen
title Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
title_short Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
title_full Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
title_fullStr Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
title_full_unstemmed Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
title_sort analyzing msci global healthcare return and volatility with structural change based on residual cusum garch approach
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952682939&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55586
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