ARCH and GARCH models vs. martingale volatility of finance market returns

Joseph L. McCauley

首页> 外文期刊>International Review of Financial Analysis >ARCH and GARCH models vs. martingale volatility of finance market returns

【24h】

ARCH and GARCH models vs. martingale volatility of finance market returns

机译：ARCH和GARCH模型与金融市场收益率的mar展波动性

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

ARCH and GARCH models assume either i.i.d. or 'white noise' as is usual in regression analysis, while also assuming memory in a conditional mean square fluctuation with stationary increments. We will show that ARCH/GARCH is inconsistent with uncorrelated increments, violating the i.i.d. and 'white' assumptions, and violating finance data and the efficient market hypothesis as well.

机译：ARCH和GARCH模型假设i.i.d.或“白噪声”，这在回归分析中很常见，同时还假设内存处于条件均方波动且具有固定增量。我们将显示ARCH / GARCH与不相关的增量不一致，从而违反了i.i.d.和“白色”假设，并且违反了金融数据和有效的市场假设。

著录项

来源
《International Review of Financial Analysis》 |2009年第4期|151-153|共3页
作者
Joseph L. McCauley;
展开▼
作者单位

Physics Department, University of Houston, Houston, TX 77204-5005, United States;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词
nonstationary differences/ increments; ARCH; GARCH; martingales; efficient market hypothesis; volatility;

机译：非平稳差异/增量;拱;GARCH;鞅;有效的市场假设;挥发性;

相似文献

外文文献
中文文献
专利

1. Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models [J] . Ataurima Arellano Miguel, Rodriguez Gabriel The North American journal of economics and finance . 2020,第Apra期

机译：利用马尔可夫交换加油模型的高收入和新兴股票及外汇市场返回波动的经验造型
2. Modelling and forecasting volatility of the Botswana and Namibia stock market returns: evidence using GARCH models with different distribution densities [J] . William Coffie Global business & economics review . 2018,第1期

机译：博茨瓦纳和纳米比亚股市收益的波动率建模和预测：使用具有不同分布密度的GARCH模型的证据
3. Modeling Univariate Volatility of Stock Returns Using Stochastic GARCH Models: Evidence from 4-Asian Markets [J] . Mohd. Aminul Islam Australian Journal of Basic and Applied Sciences . 2013,第2013期

机译：使用随机GARCH模型对股票收益率的单变量波动进行建模：来自4个亚洲市场的证据
4. Modeling and Forecasting of Return Volatility Using GARCH and HAR-RV Models: Case of U.S. Stock Market [C] . Petr Seda Conference on Strategic Management and its Support by Information Systems . 2014

机译：用GARCH和HAR-RV模型建模与预测返回波动率：美国股市案例
5. The efficiency of the oil futures market and the hedging effectiveness of symmetric vs. asymmetric GARCH models during periods of extreme conditional volatility. [D] . El-Khoury, Mario. 2006

机译：在极端条件波动期间，石油期货市场的效率以及对称与非对称GARCH模型的对冲有效性。
6. Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models [O] . Νikolaos A. Kyriazis, Kalliopi Daskalou, Marios Arampatzis, 2019

机译：通过使用GARCH模型估算在看跌市场期间加密货币的波动性
7. ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns [O] . McCauley, Joseph L. 2008

机译：aRCH和GaRCH模型与金融市场的鞅波动性返回

ARCH and GARCH models vs. martingale volatility of finance market returns

摘要

著录项

相似文献

相关主题

期刊订阅