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- W2346651930 abstract "This paper focuses on describing an alternative forecast of transactional volume (purchase/sell) of fixed income in the secondary market. This is based on models of smooth transition autoregressive, STAR, which can include asymmetric effects, changes of regime or state, where a linear estimate proposal generates less accurate results, in terms of explanation and prediction of the phenomenon. The Logistic STAR architecture (??=2,??=2) has been selected according to: the alternative test of stationarity, which is appropriate when non-linearity is presented, tests of linearity, the evaluation of a forecast test that evaluates, in particular, the accuracy compared to a linear ARIMA model. We have found that unit root test Dickey-Fuller augmented, showed evidence in favor of unit root when a nonlinear stationary process was identified. The forecast was made under bootstrap and rolling, taking into account the non-linearity of the process. And as a result, this tool will support The Colombian Securities Exchange (BVC) to forecast and plan its future financial statements." @default.
- W2346651930 created "2016-06-24" @default.
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- W2346651930 date "2014-01-01" @default.
- W2346651930 modified "2023-09-26" @default.
- W2346651930 title "Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia a través de la modelación no lineal STAR" @default.
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