Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH models

被引：4

作者：

Sathe, Aastha M. ^{[1
]}

Upadhye, N. S. ^{[1
]}

机构：

[1] Indian Inst Technol Madras, Dept Math, Chennai 600036, Tamil Nadu, India

来源：

JOURNAL OF APPLIED STATISTICS | 2022年 / 49卷 / 11期

关键词：

ARMA– GARCH models; stable distributions; parameter estimation; simulation;

D O I：

10.1080/02664763.2021.1928019

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 this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise. Next, we propose the modified empirical characteristic function method for the estimation of GARCH parameters with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods with Monte-Carlo simulation. Finally, we apply our proposed methods to model the financial data.

引用

页码：2964 / 2980

页数：17

共 50 条

[31] NM-QELE for ARMA-GARCH models with non-Gaussian innovations
Ha, Jeongcheol
Lee, Taewook
STATISTICS & PROBABILITY LETTERS, 2011, 81 (06) : 694 - 703
[32] Specification error caused by level shifts and temporary changes in ARMA-GARCH models
Javier Trivez, F.
Catalan, Beatriz
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2008, 78 (09) : 853 - 868
[33] 基于GF的ARMA-GARCH股票预测
车冠贤
李伟书
现代商贸工业, 2018, 39 (30) : 102 - 103
[34] TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA-GARCH MODEL
Ma, Yaolan
Zhou, Mo
Peng, Liang
Zhang, Rongmao
ECONOMETRIC THEORY, 2022, 38 (03) : 536 - 561
[35] Stock Indices Analysis Based on ARMA-GARCH Model
Wang, Weiqiang
Guo, Ying
Niu, Zhendong
Cao, Yujuan
2009 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS 1-4, 2009, : 2143 - +
[36] Neural networks and ARMA-GARCH models for foreign exchange risk measurement and assessment
Nsengiyumva, Elysee
Mung'atu, Joseph K.
Kayijuka, Idrissa
Ruranga, Charles
COGENT ECONOMICS & FINANCE, 2024, 12 (01):
[37] Bayesian analysis of a doubly truncated ARMA-GARCH model
Goldman, E
Tsurumi, H
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2005, 9 (02):
[38] On adaptive estimation in nonstationary ARMA models with Garch errors
Ling, SQ
McAleer, M
ANNALS OF STATISTICS, 2003, 31 (02): : 642 - 674
[39] ESTIMATION OF ARMA MODELS WITH SEASONAL PARAMETERS
SALAS, JD
BOES, DC
SMITH, RA
WATER RESOURCES RESEARCH, 1982, 18 (04) : 1006 - 1010
[40] Finite mixture of ARMA-GARCH model for stock price prediction
Tang, H
Chiu, KC
Xu, L
PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES, 2003, : 1112 - 1115

← 1 2 3 4 5 →