Title :
Can a multivariate QTARCH combined with technical indicators estimate returns in the commodity futures markets?
Author :
Hamelink, Foort ; Vessereau, Thieny
Author_Institution :
Dept. HEC, Geneva Univ., Switzerland
Abstract :
Investigates the ability of a new class of conditional heteroscedasticity threshold models called QTARCH (Qualitative Threshold AutoRegressive Conditional Heteroscedasticity) developed by Gourieroux and Monfort (1992) to estimate conditional returns and variances of futures on commodities. The model is based on information contained in past returns and in technical indicators popular among traders. The methodology is applied to futures on Deutschmark, Sugar, the S&P500 and T-Bill using closing prices. Our results suggest that technical indicators used with a QTARCH methodology can significantly predict future returns and variance
Keywords :
commodity trading; finance; forecasting theory; statistical analysis; Deutschmark; S&P500; Sugar; T-Bill; closing prices; commodity futures markets; conditional returns estimation; multivariate QTARCH; prediction; qualitative threshold autoregressive conditional heteroscedasticity; technical indicators; variances; Chaos; Covariance matrix; Linearity; Maximum likelihood detection; Parameter estimation; Predictive models; Statistical analysis; Testing; Vectors; Yttrium;
Conference_Titel :
Computational Intelligence for Financial Engineering, 1995.,Proceedings of the IEEE/IAFE 1995
Conference_Location :
New York, NY
Print_ISBN :
0-7803-2145-6
DOI :
10.1109/CIFER.1995.495266
