نتایج جستجو برای: مدل های garch پانل

تعداد نتایج: 518113  

2005
Mika Meitz

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.

2012
Lars Forsberg

This paper is mainly talking about several volatility models and its ability to predict and capture the distinctive characteristics of conditional variance about the empirical financial data. In my paper, I choose basic GARCH model and two important models of the GARCH family which are E-GARCH model and GJR-GARCH model to estimate. At the same time, in order to acquire the forecasting performan...

2001
Theodore E. Day Craig M. Lewis

Previous studies of the information content of the implied volatilities from the prices of call options have used a cross-sectional regression approach. This paper compares the information content of the implied volatilities from call options on the S&P 100 index to GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and Exponential GARCH models of conditional volatility. By addin...

2002
Jinliang Li Chihwa Kao

In this paper, we propose a bounded influence estimation (BIE) and outlier detection procedure for GARCH models. Previous studies show that maximum likelihood estimates of GARCH models are sensitive to outliers and financial time series present a heavy tail due to outliers. The proposed BIE limits the influence of a small subset of the data and is asymptotically normal. Its robustness against o...

2002
Jin-Chuan Duan Geneviève Gauthier Caroline Sasseville Jean-Guy Simonato

This paper proposes an efficient approach to compute the prices of American style options in the GARCH framework. Rubinstein’s (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed in Duan et al. (1999, 2002) to yield a simple recombining binomial tree for option valuation in the GARCH context. Since the resulting tree is ...

2007
Giovanni Barone-Adesi Robert F. Engle Loriano Mancini

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework we allow for different distributions of the historical and the pricing return dynamics enhancing the model flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model outperforms other competing...

ژورنال: :مجله تحقیقات اقتصادی 2007
غلامرضا کشاورز حداد زهرا نجاتی محرمی

این مقاله، با پایه قراردادن تئوری استالپر- ساموئلسون و با به‎کارگیری داده‎های خرد در سطح خانوارها و با استفاده از روش‎های اقتصاد سنجی داده‎های پانل با متغیر وابستة محدودشدة توبیت، به بررسی تأثیر جهانی شدن، با معیار آزاد سازی تجاری و کاهش در تعرفه‎ها بر نابرابری دستمزدها در کشور ایران، می‎پردازد. نتایج برازش مدل با درنظر گرفتن نرخ تعرفه‎ها به‎عنوان شاخص آزاد سازی تجاری، نشان می‎دهد که کاهش در نر...

2003
Jurgen A. Doornik Marius Ooms

Several aspects of GARCH(p, q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood. This invalidates standard inference on the estimated coefficients. Next, the implementation of different restrictions on the GARCH parameter space is considered. A re...

2010
Peter Reinhard Hansen Zhuo Huang Howard Howan Shek Giampiero Gallo Asger Lunde

We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log-linear spec...

2013
Dick van Dijk Philip Hans Franses

In this paper we investigate the properties of the Lagrange Multiplier LM test for autoregressive conditional heteroskedasticity ARCH and generalized ARCH GARCH in the presence of additive outliers AO s We show an alytically that both the asymptotic size and power are adversely a ected if AO s are neglected the test rejects the null hypothesis of homoskedasticity too often when it is in fact tr...

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