Induced Garima Stochastic Volatility Models

被引：0

作者：

Jafna, Fathima ^{[1
]}

Krishnarani, S. D. ^{[2
]}

机构：

[1] Farook Coll, Dept Stat, Kozhikode 673632, Kerala, India

[2] Univ Calicut, Dept Stat, Malappuram 673635, Kerala, India

来源：

AUSTRIAN JOURNAL OF STATISTICS | 2024年 / 53卷 / 01期

关键词：

generalized method of moments; induced garima; stochastic volatility; VARIANCE;

D O I：

10.17713/ajs.v53i1.1650

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In the present paper, a stochastic volatility model generated by a first-order induced Garima Markov sequence has been suggested for modeling financial time series. The statistical and probabilistic properties of the suggested model are studied, and the estimation of the model parameters is done using the generalized method of moments. Simulation studies and real data analysis are done to demonstrate the applicability of the model. Also, the fit has been compared with an existing stochastic volatility model.

引用

页码：104 / 119

页数：16

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