- Tytuł:
- GARCH(1,1) models with stable residuals
- Autorzy:
-
Trusz, M.
Tserakh, U. - Powiązania:
- https://bibliotekanauki.pl/articles/92862.pdf
- Data publikacji:
- 2018
- Wydawca:
- Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach
- Tematy:
-
GARCH model
stable distributions
tempered stable distribution
maximum likelihood method - Opis:
- The focus of this paper is the use of stable distributions for GARCH models. Such models are applied for the analysis of financial and economic time series, which have several special properties: volatility clustering, heavy tails and asymmetry of residuals distributions. Below we compare the properties of stable and tempered stable distributions and describe methodologies for constructing models and subsequent estimation of parameters using the maximum likelihood method. We also analyze an example of building models on real data in order to illustrate that tempered stable distributions could be used in financial time series models. Moreover, such distributions can show better results in comparison with traditionally used distributions.
- Źródło:
-
Studia Informatica : systems and information technology; 2018, 1-2(22); 47-57
1731-2264 - Pojawia się w:
- Studia Informatica : systems and information technology
- Dostawca treści:
- Biblioteka Nauki