How to use this page?

What is the Stability Watch?

"Stability Views" are charts from Rmetrics offering views on the stability of historical economic indicators and financial time series. These charts help to follow non-stationarities, instabilities and stressed scenarios in historical time series.

Does the Report Forecast Market Instabilities?

The reports may also help, even if not guaranteed, to detect during early stages indications that severe changes and instabilities may occur in the near future. The aspects which are considered by the Stability Watch report are (i) Value, (ii) Volatility, (iii) Multiresolution, and (iv) Robustness or Stability.

Which Statistical Approaches are Used?

We apply modern statistical approaches to the analysis of the time series. Time Series analysis with fat tailed innovations, robust modeling with GARCH models, phase space embedding approaches from chaos theory for time series pattern analysis nd reconstruction, identification and extraction of unstable pattern and scenarios which can be used in stress testing. Other approaches are concerned with time/frequency multi-resolution analysis with wavelets, robust covariance estimation including minimum covariance determinant, shrinkage und random matrix theory approaches, and spline smoothed divergence indicators, amongst others.

What Displays the Value View?

The Value View shows the time series values on a linear or logarithmic scale, gives the probabilities of a structural change or break for each data point using a Bayesian Monte Carlo approach, identifies likely outlying points by phase space embedding and robust covariance analysis, and displays ranges of World (US) recessions.

What Displays the Volatility View?

The Volatility View shows the time series volatilities, identifies stressed or unstable reward patterns by phase space embedding and robust covariance analysis, and displays also the ranges of World (US) recessions. Volatility estimates are displayed and outlying points are identified by robust volatility estimation due to leveraged interquartile range GARCH models with lambda distributed innovations

What Displays the Multiresolution View?

The Multiresolution View offfers a time/frequency wavelet analysis allowing to consider and interpret the data on different resolutions and scales.

What Displays the Stability View?

The Stability View uses a phase space embedding approach of data sequences. Robust covariance analysis of these sequences allows the detection and identification of outlying values in mean and variance. The results are represented as divergence plots of the probabilities by smoothed splines.

What are the Data Sources?

All data sets are are available from the Internet. Amongst the sources are:

How Often are the Charts Updated?

Selected charts are updated on an irregular time schedule approximately once per month. Note that not all instruments are shown on this web page. The charts are only thought to demonstrate the statistical approaches we use in the analysis of the stability of financial markets.

Any Questions?

Do not hesitate to contact us.