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Heteroskedasticity variance index

Hassan, M., Hossny, M., Nahavandi, S. and Creighton, D. 2012, Heteroskedasticity variance index, in UKSim 2012 : Proceedings of the 14th International Conference on Modelling and Simulation, IEEE, [Cambridge, England], pp. 135-141.

Document type: Conference Paper
Collection: Centre for Intelligent Systems Research
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Title Heteroskedasticity variance index
Author(s) Hassan, M.
Hossny, M.
Nahavandi, S.
Creighton, D.
Conference name International Conference on Modelling and Simulation (14th : 2012 : Cambridge, England)
Conference location Cambridge, England
Conference dates 28-30 Mar. 2012
Title of proceedings UKSim 2012 : Proceedings of the 14th International Conference on Modelling and Simulation
Editor(s) [unknown]
Publication date 2012
Conference series International Conference on Modelling and Simulation
Start page 135
End page 141
Total pages 7
Publisher IEEE
Place of publication [Cambridge, England]
Keyword(s) econometrics
heteroskedasticity
homoskedasticity
time series
Summary Time series forecasting attempts to predict future values of time series. Its work is based on studying previously observed values. A heteroskedastic time series features variable and unpredictable measures of dispersion. This uncertainty in statistical distribution parameters imposes a serious challenge to the forecasting models. There have been many attempts to identify the heteroskedasticity in time series. However, all these attempts rely on hypothesis testing and do not quantify the amount of heteroskedasticity in the examined time series. On the other hand, quantifying heteroskedasticity does provide extra information about the behavior of the time series. Studying this behavior will improve forecasting of behavioral dependent time series such as stock market data. This paper introduces a novel heteroskedasticity index based on variance of localized variances.
ISBN 9781467313667
Language eng
Field of Research 089999 Information and Computing Sciences not elsewhere classified
Socio Economic Objective 970108 Expanding Knowledge in the Information and Computing Sciences
HERDC Research category E1 Full written paper - refereed
Copyright notice ©2012, IEEE
Persistent URL http://hdl.handle.net/10536/DRO/DU:30048249
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