Volatility estimation using a rational GARCH model

Volatility estimation using a rational GARCH model

The rational GARCH (RGARCH) model has been proposed as an alternative GARCHmodel that captures the asymmetric property of volatility. In addition to the previously proposedRGARCH model, we propose an alternative RGARCH model called the RGARCH-Exp model thatis more stable when dealing with outliers....

Full description

Bibliographic Details
Main Author: Tetsuya Takaishi
Format: Article
Language:English
Published: AIMS Press 2018-03-01
Series:Quantitative Finance and Economics
Subjects:
asymmetric volatility| rational GARCH model| bayesian inference| Markov ChainMonte Carlo| Metropolis-Hastings algorithm| realized volatility| Padé approximants| student-tdistribution| QLIKE loss function
Online Access:http://www.aimspress.com/article/10.3934/QFE.2018.1.127/fulltext.html

Internet

http://www.aimspress.com/article/10.3934/QFE.2018.1.127/fulltext.html

Similar Items