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Modeling high frequency data with long memory and structural change : A-HYEGARCH model
Shi, Yanlin; Yang, Yang - In: Risks : open access journal 6 (2018) 2, pp. 1-28
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...
Persistent link: https://www.econbiz.de/10011811728
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On the origins of high persistence in GARCH-models
Krämer, Walter; Tameze Azamo, Baudouin; Christou, … - 2009
Persistent link: https://www.econbiz.de/10008839631
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Structural Change and long memory in the GARCH(1,1)-model
Azamo, Baudouin Tameze; Krämer, Walter - 2006
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the …
Persistent link: https://www.econbiz.de/10010296748
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Modeling high frequency data with long memory and structural change: A-HYEGARCH model
Shi, Yanlin; Yang, Yang - In: Risks 6 (2018) 2, pp. 1-28
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...
Persistent link: https://www.econbiz.de/10011996584
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Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
Hillebrand, Eric - EconWPA - 2003
. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …
Persistent link: https://www.econbiz.de/10005119104
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On the origin of high persistence in GARCH-models
Krämer, Walter; Tameze, Baudouin; Christou, Konstantinos - In: Economics Letters 114 (2012) 1, pp. 72-75
We show that the (Baillie and Chung, 2001) minimum distance estimates of the GARCH (1,1) model induce spurious …
Persistent link: https://www.econbiz.de/10011041785
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Structural Change and long memory in the GARCH(1,1)-model
Azamo, Baudouin Tameze; Krämer, Walter - Institut für Wirtschafts- und Sozialstatistik, … - 2006
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the …
Persistent link: https://www.econbiz.de/10009219879
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Long memory and structural change in the G7 inflation dynamics
Belkhouja, Mustapha; Mootamri, Imene - In: Economic modelling 54 (2016), pp. 450-462
Persistent link: https://www.econbiz.de/10011642242
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Multiple-period market risk prediction under long memory: when VaR is higher than expected
Kinateder, Harald; Wagner, Niklas - In: The Journal of Risk Finance 15 (2014) 1, pp. 4-32
volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model … past volatility shocks. As the square-root-of-time rule is known to be mis-specified, the GARCH setting of Drost and Nijman …
Persistent link: https://www.econbiz.de/10014902009
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Long memory with Markov-Switching GARCH
Krämer, Walter - 2008
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …
Persistent link: https://www.econbiz.de/10010264309