The GJRGARCH(1,1) model with different distributions is fitted. It is found that there is no leverage effect in the 5G plate; the VaR calculation is performed under different distributions using the GJRGARCH(1,1) model, and the GJRGARCH(1,1) model bas...
背景:GARCH模型相对于ARCH模型来说,it can capture smooth volatility, clustering, fat tails; 但是GARCH模型在对于昨天的shock是正还是负上的反馈是一致的;但往往市场对于negative volatility会更敏感:也就…
Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-t InnovationsIn this chapter, we address the problem of estimating GARCH models subject to structural changes in the parameters; namely, the Markov-switching GARCH models (henceforth MS-GARCH). In this framework, a hidden...
Financial Volatility Forecasting by Least Square Support Vector Machine Based on GARCH, EGARCH and GJR Models: Evidence from ASEAN Stock Markets, J. International Journal of Economics & Finance, 2010, 2(1): 337-367.Phichhang O., & Hengshan W. (2010). Financial Volatility Forecasting by ...
S. 2011. Modeling and Forecasting Stock Market Volatility by Gaussian Processes based on GARCH, EGARCH and GJR Models. World Congress on Engineering 2011. 1 (7), p. 1.Ou, P., Wang, H.: Modeling and forecasting stock market volatility by Gaussian processes based on GARCH, EGARCH and GJ...
其中圣1是一个虚拟变量,即假设在响应<好消息(T - 1(0零0)坏消息T - 1)的一个值。 GJR模型允许不对称,通过增加一个坏消息后的误差平方长期标准的GARCH模型,并在这样做允许出现负回报率的冲击,以产生更大的波动性比正回报冲击。
Moments for the most commonly used GARCH models are stated as special cases. We also derive the limits of these moments as the time horizon increases, establishing regularity conditions for the moments of aggregated returns to converge to normal moments. A simulation study using these analytic ...
efficient method of momentsLinear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow tdoi:10.2139/ssrn.3013353Prono, ToddSocial Science Electronic Publishing...
S.Esipov and D.Guo, Portfolio-Based Risk Pricing: Pricing Long-Term Put Options with GJR-GARCH(1,1)/Jump Diffusion Process, forthcoming paper in the Proceeding of the Seminar on Mathematical Finance at Courant Institute, World Scientific, Singapore (1998)...
GARCH(l,l)/jump-diffusion model#Parameters for the GJR-GARCH(l,l)/jump-diffusion model#Pricing S&P 500 Index Put OptionsOption parameters for one-year European putsFrom distributions to pricesVolatility smileComparison with historical market price of puts in 1988–1997Five-year European puts#...