1 |
Integer-valued ARCH and GARCH modelsChoden C, Kezang 01 August 2016 (has links)
The models for volatility, autoregressive conditional heteroscedastic (ARCH) and generalized autoregressive conditional heteroscedastic (GARCH) are discussed. Stationarity condition and forecasting for simple ARCH(1) and GARCH(1,1) models are given. The model for discrete time series is proposed to be negative binomial integer-valued GARCH model, which is a generalization of the Poisson INGARCH model. The stationarity conditions and the autocorrelation function are given. For parameter estimation, three methodologies are presented with a focus on maximum likelihood approach. Simulation study on a sample size of 100 and 500 are carried out and the results are presented. An application of the model to a real time series with numerical example is given indicating that the proposed methodology performs better than the Poisson and double Poisson model-based methods.
|
2 |
An ARCH/GARCH arbitrage pricing theory approach to modelling the return generating process of South African stock returns.Szczygielski, Jan Jakub 14 August 2013 (has links)
This study investigates the return generating process underlying the South African
stock market. The investigation of the return generating process is framed within
the Arbitrage Pricing Theory (APT) framework with the APT reinterpreted so as to
provide a conceptual framework within which the return generating process can be
investigated. In modelling the return generating process, the properties of South
African stock returns are taken into consideration and an appropriate econometric
framework in the form of Autoregressive Conditional Heteroscedastic (ARCH) and
Generalized Autoregressive Conditional Heteroscedastic (GARCH) models is
applied. Results indicate that the return generating process of South African stock
returns is described by innovations in multiple risk factors representative of several
risk categories. The multifactor model of the return generating process explains a
substantial amount of variation in South African stock returns and the
ARCH/GARCH methodology is an appropriate econometric framework for the
estimation of models of the return generating process. The APT framework is
successfully applied to model and investigate the return generating process of
South African stock returns.
|
Page generated in 0.0119 seconds