ARCH-COMP21 Category Report: Stochastic Models

ARCH-COMP17 Category Report: Continuous Systems with Nonlinear Dynamics

We present the results of a friendly competition for formal verification of continuous and hybrid systems with nonlinear continuous dynamics. The friendly competition took place as part of the workshop Applied Verification for Continuous and Hybrid Systems (ARCH) in 2017. This year, three tools CORA, Flow* and Isabelle/HOL (in alphabetic order) participated. They are applied to solve the reacha...

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating offset mixture model, followed by an importance reweighting procedure. This approach is compared with ...

Arch Models ”

Least - Squares Estimation in Time - Varying Arch Models : Technical Report

We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further study of parameter estimation methods for the model. Since the parameters are changing over time, a successful estimator needs to perform well for small samples....

ARCH-COMP17 Category Report: Continuous and Hybrid Systems with Linear Continuous Dynamics

This report presents the results of a friendly competition for formal verification of continuous and hybrid systems with linear continuous dynamics. The friendly competition took place as part of the workshop Applied Verification for Continuous and Hybrid Systems (ARCH) in 2017. In its first edition, seven tools have been applied to solve three different benchmark problems in the category for l...