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Marginal Likelihood for Markov-switching and Change-point Garch Models
Luc, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - School of Economics and Management, University of Aarhus - 2011
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10009371456
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Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012
GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …
Persistent link: https://www.econbiz.de/10010851299
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Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
Hansen, Peter Reinhard; Zhuo (Albert) Huang; Shek, … - School of Economics and Management, University of Aarhus
GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a … and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many … ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH …
Persistent link: https://www.econbiz.de/10008836606
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Option Pricing using Realized Volatility
Stentoft, Lars - School of Economics and Management, University of Aarhus - 2008
In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...
Persistent link: https://www.econbiz.de/10005440036
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Volatility Components, Affine Restrictions and Non-Normal Innovations
Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008
Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …
Persistent link: https://www.econbiz.de/10005440037
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Parameterizing unconditional skewness in models for financial time series
He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...
Persistent link: https://www.econbiz.de/10005440080
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver; Lange, Theis - School of Economics and Management, University of Aarhus - 2009
We address the IGARCH puzzle by which we understand the fact that a GARCH(1,1) model fitted by quasi maximum likelihood … data is generated by certain types of continuous time stochastic volatility models, but fitted to a GARCH(1,1) model one …
Persistent link: https://www.econbiz.de/10005198859
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Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …
Persistent link: https://www.econbiz.de/10005034729
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Unbalanced Regressions and the Predictive Equation
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - School of Economics and Management, University of Aarhus - 2015
Predictive return regressions with persistent regressors are typically plagued by (asymptotically) biased/inconsistent estimates of the slope, non-standard or potentially even spurious statistical inference, and regression unbalancedness. We alleviate the problem of unbalancedness in the...
Persistent link: https://www.econbiz.de/10011158460
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Estimation of long memory in integrated variance
Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2011
A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...
Persistent link: https://www.econbiz.de/10008915798