Volatile ARMA Modelling of GARCH Squares

• Autorzy: Anthony J. Lawrance
• Języki publikacji: EN

Abstrakty

EN

This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes. (original abstract)

Słowa kluczowe

EN

ARMA model; GARCH model; Time-series analysis; Stochastic Volatility Processes

PL

Model ARMA; Model GARCH; Analiza szeregów czasowych; Procesy zmienności stochastycznej

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2010
• Tom: 2
• Numer: nr 3
• Strony: 195--203

Twórcy

autor

Anthony J. Lawrance

• University of Warwick, United Kingdom

Bibliografia

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• [8] Lai T. L., Xing H., (2008), Statistical Models and Methods for Financial Markets, Springer, New York.
• [9] Ling S., (2004), Estimation and Testing Stationarity for Double-autoregressive Models, "Journal of Royal Statistical Society", Series B, 66, 63-78.
• [10] Tsay R. S. (2002), Analysis of Financial Time Series, Wiley, New York.

Identyfikatory

DOI

10.24425/cejeme.2010.119328