and Provasi, C., "GARCH-type Models with Generalized Secant Hyperbolic Innovations," Studies in Nonlinear Dynamics & Economics, Vol. 8, Iss. 2, 2004.Palmitesta, P, Provasi, C (2004) GARCH-type models with generalized secant hyperbolic innovations. Stud Nonlinear Dyn E 8: pp. 1-17...
Our results reveal that there are estimators that can fit GARCH-type models better than the commonly used quasi-maximum likelihood estimator under non normal errors. An application to real data set is also presented.doi:10.1080/03610926.2011.588366Farhat Iqbal...
The model of GARCH is widely used in modeling the volatility of financial assets and measuring Va R.This paper comparatively studies RiskMetrics and GARCH-type models of 11,based on the assumption of gaussian normal distribution and skewed student's t distribution respectively and their accuracy of...
GARCH modelsHard thresholdingRate of convergenceWaveletsWe consider the GARCH-type model: S = σ~2Z, where σ~2 and Z are independent random variables. The density of σ~2 is unknown whereas the one of Z is known. We want to estimate the density of σ~2 from n observations of S ...
Compared to classic factor models, the GARCH-type factor model bypasses the above-mentioned challenges, and can be estimated by the Simulation In this section, we explore the finite sample performance of the GARCH-type factor models. When optimizing the quasi-log-likelihood or penalized quasi-log...
Simulations show that our asymptotic approximations work well for a large number of AR–GARCH models and parameter values. We also show that the rank-based tests often, though not always, have superior power properties over the classical tests, even if they are conservative. An empirical ...
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH) models via...
Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations GARCH2020-10-09 上传大小:324KB 所需:10积分/C币 【vue】基于 Vue3 + Element Plus 实现,支持 RBAC 动态权限、数据权限、SaaS 多租户、Flowable 工作流、三方登录、支付、短信、商城、CRM 等功...
Due to the availability to describe the relationship between financial market volatility and return,GARCH-M model has been widely studied since it was proposed.The majority of traditional methods used to estimate GARCH-M type models are based on quasi maximum likelihood estimation.However,these approac...
The Volatility of Pakistan Stock Market: A Comparison of GARCH Type Models With Five Distributionvolatilitystock marketGARCH modelinvestoreconomicThis study conducts empirical analyses modeling the volatility of Pakistani stock market over the period of 1st January 2008 to 30th June 2018 via different ...