Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie

CHIKHI, Mohamed (2011): Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie. Published in: Recherches Economiques et Managériales , Vol. 9, (June 2011): pp. 1-15.

Abstract

Résumé: Cet article analyse le comportement cyclique des flux de trésorerie et notamment ses propriétés statistiques à travers une classe de modèles ARMA avec erreur GARCH, notée ARIMA-GARCH ; cette classe inclut une tendance stochastique, la dépendance à court terme ainsi que le terme d’erreur hétéroscédastique à mémoire courte. Nous étudions les flux hebdomadaires de trésorerie de 2006 à 2008. Les résultats prédictifs montrent que les chocs informationnels ont des conséquences transitoires sur la volatilité et que le modèle ARIMA-GARCH montre une supériorité évidente sur le modèle de marche aléatoire. Une des conclusions est que l’hypothèse de prévisibilité est acceptée pour la série des flux de trésorerie étudiée sur une période toute historique.

Abstract: This article analyzes the cyclical behavior of cash flows and especially its statistical properties through a class of ARMA model with GARCH errors, denoted ARIMA-GARCH; This class includes a stochastic trend, short-term dependence, and short-term heteroskedastic error. We study the weekly cash flows from 2006 to 2008. The predictive results show that informational shocks have transitory consequences on volatility and the predictions from the ARIMA-GARCH model are also better than the predictions of the random walk model. Accordingly, the predictability hypothesis is accepted for the series of cash flows studied over a historical period.

• Item Type: MPRA Paper
• English Title: Analysis of informational shock and conditional heteroscedasticity in cash flows
• Language: French
• Keywords: Mots-clé: Modèles ARMA, modèles GARCH, flux de trésorerie, chocs informationnels, marche aléatoire. Keywords: ARIMA models, GARCH models, cash flows, informational shocks, random walk
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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