Forecasting and model selection in time-varying parameter models

• Project/Area Number: 17K13718
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic statistics
• Research Institution: Keio University
• Principal Investigator: Potiron Yoann 慶應義塾大学, 商学部(三田), 講師 (60781119)
• Project Period (FY): 2017-04-01 – 2020-03-31
• Project Status: Completed (Fiscal Year 2019)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: high frequency data / econometrics / financial econometrics / volatility / forecasting / model selection

Outline of Final Research Achievements

Research went pretty well, which led to several papers submitted to econometric journals. It was quite a successful project,the output corresponds quite closely to the expectations.

Academic Significance and Societal Importance of the Research Achievements

The research academic and social significance was at the center of the research project, as estimating volatility on financial markets can help predict future financial crises, that could potentially impact everybody.