Comparative analysis of known time series models to forecast volatility in Philippine stock and FOREX markets

Date of Publication

2015

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Mathematics with specialization in Business Applications

Subject Categories

Mathematics

College

College of Science

Department/Unit

Mathematics and Statistics

Abstract/Summary

The stock and FOREX markets are two of the known markets in the world of business, and in this study, a number of time series models to forecast volatility were compared. Furthermore, the research is aimed to study models for these two markets in the Philippine setting. Forecasting volatility is helpful in determining asset return distribution and in other finance applications such as investment, portfolio option pricing, hedging and risk management. Thus, it is important to examine and compare the time series models in forecasting volatility by computing the error statistics, pairwise comparison test, test for unbiasedness and the predictive power. Results show that the dominant model for FOREX is GARCH(1,1) and for stocks, Moving Average model of order 3. It can be noted that a number of forecasting models can be deemed accurate enough to forecast monthly volatility.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTU021103

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

1 computer disc ; 4 3/4 in.

Keywords

Stocks--Philippines--Forecasting; Foreign exchange--Philippines--Forecasting

Embargo Period

5-13-2021

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