Modelling financial time series with SEMIFAR-GARCH model
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116702 |
| Author: | Feng, Yuanhua; Beran, Jan; Yu, Keming |
| Year of publication: | 2007 |
| Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2007/14 |
| Summary: |
A class of semiparametric fractional autoregressive GARCH models (SEMIFARGARCH), which includes deterministic trends, difference stationarity and stationarity with short- and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error term. So that the model can be applied in practice. We then illustrate the model and estimation methods with a few of different finance data sets.
|
| Subject (DDC): | 330 Economics |
| Keywords: | Financial time series, GARCH model, SEMIFAR model, parameter estimation, kernel estimation, asymptotic property |
| Comment on publication: | Also publ. in: IMA Journal of Management Mathematics ; 18 (2007), 4. - S. 395-412 |
| Link to License: | Terms of use |
| Bibliography of Konstanz: | Yes |
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FENG, Yuanhua, Jan BERAN, Keming YU, 2007. Modelling financial time series with SEMIFAR-GARCH model
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