Showing 1 - 10 of 2,890
Persistent link: https://www.econbiz.de/10011326796
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails … considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in … establishing the asymptotic properties of certain GARCH estimators proposed in the literature …
Persistent link: https://www.econbiz.de/10011803123
When the ARMA-GARCH model errors lack a finite fourth moment, the asymptotic distribution of the quasi …, simulations show that the conventional bootstrap, despite its inconsistency, provides accurate confidence intervals for ARMA-GARCH … intervals for ARMA-GARCH VaR. According to theory, this `omnibus' method produces confidence intervals with asymptotically …
Persistent link: https://www.econbiz.de/10013081186
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10012857089
The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory …
Persistent link: https://www.econbiz.de/10013052440
The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory …
Persistent link: https://www.econbiz.de/10013058915
The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory …
Persistent link: https://www.econbiz.de/10013059259
Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a …) financial returns to display strong GARCH effects. A joint, exactly-identified method-of-moments estimator is proposed for the … parameters of these GARCH processes that includes the tail index, and the asymptotic properties of this estimator are determined …
Persistent link: https://www.econbiz.de/10012933309
In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for symmetry with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier...
Persistent link: https://www.econbiz.de/10013405890