The traditional threshold time series model is famous for its capability in capturing asymmetry. Regime switching takes place immediately when a certain variable crosses the threshold. However, this type of model may not be suitable for data which have no clear cut between regimes. A new generation of threshold type model, buffered time series model, is modified from the traditional threshold time series model. A buffer zone is introduced to replace the role of the threshold; regime switching will not take place within the buffer zone. The regime switching mechanism mimicks a climatological example and the buffered model may be suitable for data in which there is a region where the probabilistic structure of the data is insensitive to changes. Self-exciting buffered generalized autoregressive conditional heteroscedasticity (buffered GARCH) model is considered. Quasi-maximum likelihood is employed for parameter estimation. Strong consistency and asymptotic distributions are derived. Simulation experiments are carried out to verify the properties of the estimators. The buffered GARCH model is applied to two currency exchange rate data sets, US dollar to Moroccan dirham exchange rate and US dollar to Israeli new shekel exchange rate. At the same time, threshold GARCH model is also applied to the data sets in order to have comparison between the buffered GARCH model and threshold GARCH model. It is found that the buffered GARCH model beats the threshold GARCH model in terms of one information criterion, revealing that the buffered GARCH model may have advantage over the threshold GARCH model. / published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy
| Identifer | oai:union.ndltd.org:HKU/oai:hub.hku.hk:10722/196446 |
| Date | January 2014 |
| Creators | Lo, Pak-hang, 勞柏衡 |
| Contributors | Yu, PLH, Li, WK |
| Publisher | The University of Hong Kong (Pokfulam, Hong Kong) |
| Source Sets | Hong Kong University Theses |
| Language | English |
| Detected Language | English |
| Type | PG_Thesis |
| Rights | Creative Commons: Attribution 3.0 Hong Kong License, The author retains all proprietary rights, (such as patent rights) and the right to use in future works. |
| Relation | HKU Theses Online (HKUTO) |
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