Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation
نویسندگان
چکیده
Dans cet article, nous proposons un modele hyperbolique GARCH realise adaptatif (ARealized HYGARCH) pour modeliser la longue memoire des series chronologiques a haute frequence avec d’eventuelles changements de regimes. Le changement regime est modelise, en permettant l’intercepte suivre une forme fonction lisse et flexible introduite par Gallant. De plus, les conditions stabilite ce sont etablies dans papier. Une etude Monte Carlo consideree afin d’illustrer performances du compare au HYGARCH Realise sur donnees ou sans structurel.
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ژورنال
عنوان ژورنال: Afrika statistika
سال: 2021
ISSN: ['2316-090X']
DOI: https://doi.org/10.16929/as/2021.2629.177