نتایج جستجو برای: garch model

تعداد نتایج: 2106339  

2009
Bin Chen

Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in GARCH models. The idea is to compare the log likelihoods of a time-varying parameter GARCH model and a constant parameter GARCH model, where the time-varying GARCH parameters are estimated by a lo...

2012
Xinhua Cai Johan Lyhagen

GARCH-type models have been highly developed since Engle [1982] presented ARCH process 30 years ago. Different kinds of GARCH-type models are applicable to different kinds of research purposes. As documented by many literatures that short-memory processes with level shifts will exhibit properties that make standard tools conclude long-memory is present. Therefore, in this paper, we want to fore...

Journal: :Brazilian Journal of Probability and Statistics 2018

2015

We develop a misspecification test for the multiplicative two-component GARCHMIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly timevarying long-term component which is driven by the dynamics of a macroeconomic explanatory variable. We suggest a Lagrange Multiplier statistic for testing the null hypothes...

2011
Xibin Zhang Maxwell L. King

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This mixture density has the form of a kernel density estimator of the errors with its bandwidth being the standard deviat...

2003
K. P. Lim M. J. Hinich K. S. Liew

This study employed the Hinich portmanteau bicorrelation test (Hinich and Patterson, 1995; Hinich, 1996) as a diagnostic tool to determine the adequacy of the GARCH model in describing the returns generating process of Malaysia’s stock market, specifically the Kuala Lumpur Stock Exchange Composite Index (KLSE CI). The bicorrelation results demonstrated that, while GARCH model is commonly applie...

1998
G T Denison B K Mallick

We present a new approach to generalised autoregressive conditional het-eroscedasitic (GARCH) modelling for asset returns. Instead of attempting to choose a speciic distribution for the errors, as in the usual GARCH model formulation, we use a nonparametric distribution to estimate these errors. This takes into account the common problems encountered in nancial time series, for example, asymmet...

Journal: :Finance and Stochastics 2000
Wolfgang K. Härdle Christian M. Hafner

By extending the GARCH option pricing model of Duan (1995) to more exible volatility estimation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in the case of a threshold GARCH model. For a stock index series with a pronounced leverage eeect, simulated...

2009
Tetsuya Takaishi

We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the construction of the proposal density in the Metropolis-Hastings algorithm and the parameters of the proposal density are determined adaptively by using the data sampled by the Markov chain Monte Carlo simulation...

1998
BANI K. MALLICK

We present a new approach to generalised autoregressive conditional heteroscedasitic (GARCH) modelling for asset returns. Instead of attempting to choose a speciic distribution for the errors, as in the usual GARCH model formulation, we use a nonparametric distribution to estimate these errors. This takes into account the common problems encountered in nan-cial time series, for example, asymmet...

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