Locating shifts in the unconditional variance of time-dependent processes using multiscale wavelet periodogram

Citation

Md. Sabiruzzaman, and Hamzah, Nor Aishah and Baharumshah, Ahmad Zubaidi (2014) Locating shifts in the unconditional variance of time-dependent processes using multiscale wavelet periodogram. In: 21st National Symposium on Mathematical Sciences (SKSM21), 6-8 Nov. 2013, Penang, Malaysia. (pp. 906-911).

Abstract

In this paper, we offer a proxy volatility measure based on maximum overlap discrete wavelet transform (MODWT) called multiscale wavelet periodogram (MSWP). We show that the multiscale wavelet periodogram (MSWP) is well equipped to detect multiple changes in the unconditional variance of a time-varying volatile process. Our simulation results demonstrate that use of MSWP as an input instead of the squared variable can overcome the size distortion problem associated with the CUSUM-type test for the detection of shifts in the unconditional variance. The power of the test based on wavelet periodograms is in fact comparable to that of the test based on squared variable. Our new approach is found successful for analyzing real data.

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Additional Metadata

Item Type:	Conference or Workshop Item (Paper)
Divisions:	Faculty of Economics and Management
DOI Number:	https://doi.org/10.1063/1.4887710
Publisher:	AIP Publishing LLC
Keywords:	Multiscale wavelet periodogram; Volatility; Variance shift; CUSUM-type test
Depositing User:	Nursyafinaz Mohd Noh
Date Deposited:	07 Jul 2015 03:09
Last Modified:	21 Sep 2017 03:38
Altmetrics:	http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1063/1.4887710
URI:	http://psasir.upm.edu.my/id/eprint/39100
Statistic Details:	View Download Statistic

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