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Can GARCH Models Capture Long-Range Dependence?
Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4, pp. 1269-1269
fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can …
Persistent link: https://www.econbiz.de/10005751404
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Can GARCH Models Capture Long-Range Dependence?
Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 4, pp. 1269-1269
fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can …
Persistent link: https://www.econbiz.de/10004966253
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Measuring persistence in stock market volatility using the FIGARCH approach
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197
the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …
Persistent link: https://www.econbiz.de/10011058943
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Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
Kiliç, Rehim - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 3, pp. 1430-1430
This paper extends the Fractionally integrated GARCH (FIGARCH) model by incorporating Normal Inverse Gaussian … asymmetry and skewness in the distribution of financial returns. GARCH and FIGARCH models for daily log exchange rate returns … with Normal, Student's t and NIG error distributions as well as GARCH/FIGARCH-in-mean models with t errors are estimated …
Persistent link: https://www.econbiz.de/10005046504
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Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
Kang, Sang Hoon; Cho, Hwan-Gue; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3543-3550
In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986–2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is...
Persistent link: https://www.econbiz.de/10010590090
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Long memory in stock index futures markets: A value-at-risk approach
Tang, Ta-Lun; Shieh, Shwu-Jane - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 437-448
FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq …
Persistent link: https://www.econbiz.de/10010590781
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark J. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4
By design a wavelet's strength rests in its ability to localize a process simultaneously in time-scalespace. The wavelet's ability to localize a time series in time-scale space directly leads to the computationalefficiency of the wavelet representation of a N £ N matrix operator by allowing the...
Persistent link: https://www.econbiz.de/10014620822
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Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
Tkacz, Greg - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 1
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper we instead use the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from...
Persistent link: https://www.econbiz.de/10014620839
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Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10011256249
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Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2011
An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...
Persistent link: https://www.econbiz.de/10011261933