- Tytuł:
- On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
- Autorzy:
-
Mazur, Błażej
Pipień, Mateusz - Powiązania:
- https://bibliotekanauki.pl/articles/483329.pdf
- Data publikacji:
- 2012
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
GARCH models
Bayesian inference
periodically correlated stochastic processes
volatility
unconditional variance - Opis:
- We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following Amado and Terasvirta (2009), Cizek and Spokoiny (2009) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a deterministic function that governs the possible time variability of the unconditional variance. The function proposed in this paper can be interpreted as a finite Fourier approximation of an Almost Periodic (AP) function as defined by Corduneanu (1989). The resulting model has a particular form of a GARCH process with time varying parameters, intensively discussed in the recent literature. In the empirical analyses we apply a generalisation of the Bayesian AR(1)-GARCH model for daily returns of S&P500, covering the period of sixty years of US postwar economy, including the recently observed global financial crisis. The results of a formal Bayesian model comparison clearly indicate the existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to a 14 year cycle. Our main results are invariant with respect to the changes of the conditional distribution from Normal to Student-t and to the changes of the volatility equation from regular GARCH to the Asymmetric GARCH.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2012, 4, 2; 95-116
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł