Bootstrap-Based Test for Volatility Shifts in GARCH against Long-Range Dependence
نویسندگان
چکیده
منابع مشابه
Can GARCH Models Capture the Long-Range Dependence in Financial Market Volatility?∗
This paper investigates if component GARCH models introduced by Engle and Lee (1999) and Ding and Granger (1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric estimators of the long-memory parameter, and the parametric fractionally integrated GARCH (FIGARCH) ...
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Since Merton (1969), the description of a contingent claim as a Brownian motion is commonly accepted. Thus an option price, a future price, a share price, a bond price, interest rates etc., can be modelled with a Brownian motion. In summary, any financial series which present value depends on only a few previous values, may be modelled with a continuous–time diffusion–type process. The general ...
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Volatility forecasting is one of the main issues in the financial econometrics literature. Volatility measures may be derived from statistical models for conditional variance, or from option prices. In recent times, indices have been suggested which summarize the implied volatility of widely traded market index options. One such index is the so-called VXN, an average of 30-day ahead implied vol...
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Functionals of a two-parameter integrated periodogram have been used for a long time for detecting changes in the spectral distribution of a stationary sequence. The bases for these results are functional central limit theorems for the integrated periodogram having as limit a Gaussian eld. In the case of GARCH(p; q) processes a statistic closely related to the integrated periodogram can be used...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2015
ISSN: 2383-4757
DOI: 10.5351/csam.2015.22.5.495