نتایج جستجو برای: الگوهای garch

تعداد نتایج: 18045  

2004
Adolfo M. de Guzman Adolfo M. De Guzman Dennis S. Mapa Joselito C. Magadia

A new variant of the ARCH class of models for forecasting conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) Model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the Realized Volatility that requires a large amount of intra-daily data, which remain relatively costly and are...

2006
Ari Abramson Israel Cohen

GARCH models with Markov-switching regimes are often used for volatility analysis of …nancial time series. Such models imply less persistence in the conditional variance than the standard GARCH model, and potentially provide a signi…cant improvement in volatility forecast. Nevertheless, conditions for asymptotic wide-sense stationarity have been derived only for some degenerated models. In this...

2009
Bin Chen

Detecting and modelling structural changes in GARCH processes have attracted a great amount of attention in time series econometrics over the past few years. In this paper, we …rst generalize Dahlhaus and Subba Rao (2006 2008)’s time-varying ARCH processes to time-varying GARCH processes and derive the consistency and asymptotic normality of the weighted quasi maximum likelihood estimator of th...

2004
Alexander Lindner

We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, to suggest an extension of the (G)ARCH concept to continuous time processes. Our “COGARCH” (continuous time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous time stochast...

2005
Luc Bauwens Arie Preminger Jeroen V.K. Rombouts Richard Baillie Eric Renault Sharon Rubin

We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for geometric ergodicity and existence of moments. Because of path dependence, maximum likelihood estimation is no...

2000
H. Peter Boswijk

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihood ratio statistic with that of the leastsquares based Dickey-Fuller statistic. We first use asymptotics where the GARCH variance process is stationary with fixed parameters, and then consider parameter sequences such that the GARCH process ...

2000
Amit Goyal

This paper focuses on the performance of various GARCH models in terms of their ability of delivering volatility forecasts for stock return data. Volatility forecasts obtained from a variety of mean and variance specifications in GARCH models are compared to a proxy of actual volatility calculated using daily data. In-sample tests suggest that a regression of volatility estimates on actual vola...

2011
Farid Boussama Florian Fuchs Robert Stelzer

Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...

2006
Hui Guo Christopher J. Neely Carl H. Lindner

We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant. Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, whic...

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید