• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The econometrics journal >Non-linear GARCH models for highly persistent volatility
【24h】

Non-linear GARCH models for highly persistent volatility

机译：非线性GARCH模型可实现高度持久性波动

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of the transition variable is mainly motivated by the desire to find useful models for highly persistent volatility. The underlying idea is that high persistence in conditional variance is related to relatively infrequent changes in regime, which can be captured by a suitable specification of the new model. Using the theory of Markov chains, we provide sufficient conditions for the stationarity and existence of moments of various smooth transition GARCH models and even more general nonlinear GARCH models. An empirical application to an exchange rate return series demonstrates the differences between the new model and conventional GARCH models.
机译：在本文中，我们研究了一类新的非线性GARCH模型。特别关注与先前介绍的平滑过渡GARCH模型相似的模型，不同之处在于新颖的特征，即条件方差的滞后值用作过渡变量。过渡变量的这种选择主要是出于寻找高持久性波动的有用模型的愿望。基本思想是，条件方差的高度持久性与体制的相对少见的变化有关，可以通过新模型的适当规范来捕获。利用马尔可夫链理论，我们为各种平稳过渡GARCH模型甚至更一般的非线性GARCH模型的平稳性和矩的存在提供了充分的条件。汇率回报序列的经验应用证明了新模型和常规GARCH模型之间的差异。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号