It has become common practice to fit Garch models to financial time series by means of pseudo-maximum likelihood. In this study we investigate the behavior of several maximum likelihood-based methods for estimating the Garch model parameters and for estimating volatility and risk measures (VAR and ...
method based on estimated innovations is not reliable in the diagnosis.The approach based on analyzing the tail index of a GARCH series performs better.We establish a statistical test on the distribution of GARCH innovations.To model financial time series by GARCH, heavy-tailed innovations are ...
athe mounds of 土墩[translate] aThe leading example ofa GARCH model ofthe conditional varianceis the GARCH(1,1) model, 有条件varianceis的主导的例子ofa GARCH模型GARCH( 1,1) 模型,[translate] aI think the possibilities for Watson to be leveraged throughout the hospital and creating innovative an...
2017. Fractionally integrated garch model with tempered stable distribution: A simulation study. Journal of Applied Statistics 44: 2837-57.Feng, L., and Y. Shi. 2017. Fractionally integrated garch model with tempered stable distribution: A simulation study. Journal of Applied Statistics 44: 2837-...
11.Calculates how often values occur within a range of values and then returns a vertical array of numbers having one more element than Bins_array以一列垂直数组返回一组数据的频率分布 12.A Study of the High-frequency-data-based Classified Information Mixture Distribution GARCH Model;基于高频数据的...
method based on estimated innovations is not reliable in the diagnosis.The approach based on analyzing the tail index of a GARCH series performs better.We establish a statistical test on the distribution of GARCH innovations.To model financial time series by GARCH, heavy-tailed innovations are ...
The asymptotic distribution of the t-statistic for the AR unit root is a mixture of the Dickey-Fuller t-distribution and the standard normal, with the relative weight depending on the magnitude of the GARCH effect and the fourth moment of the standardized errors. As the GARCH effect increases...
of shocks to the conditional variance process. Using daily time series of the German Mark/ U.S. dollar exchange rate, they show that the FIGARCH(1,d,1) model is superior to both the GARCH(1,1) and the integrated GARCH (IGARCH(1,1)). ...
15.Problems of Optimal Equal Interval of Exponential Distribution Based on Grouped Data;分组数据在指数分布场合下的最优等间距问题 16.A Study of the High-frequency-data-based Classified Information Mixture Distribution GARCH Model;基于高频数据的分类信息混合分布GARCH模型研究 ...
Realized GARCH: a joint model for returns and realized measures of volatility GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these mod... PR Hansen,Z Huang,HH Shek - 《Journal of Applied ...