Applications of HAR-GARCH Models
碩士 === 國立高雄大學 === 統計學研究所 === 107 === This study proposes to construct association rules for global economic conditions by fitting hysteretic autoregressive models with GARCH in mean effects, denoted by HAR-GARCH, to financial time series. A Markov Chain Monte Carlo algorithm is employed to estimate...
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ndltd-TW-107NUK003370102019-10-20T07:02:38Z http://ndltd.ncl.edu.tw/handle/dy2tky Applications of HAR-GARCH Models 滯後自迴歸條件異質變異模型之應用 Chang, Yi-Cheng 張益誠 碩士 國立高雄大學 統計學研究所 107 This study proposes to construct association rules for global economic conditions by fitting hysteretic autoregressive models with GARCH in mean effects, denoted by HAR-GARCH, to financial time series. A Markov Chain Monte Carlo algorithm is employed to estimate the model parameters and the economic conditions of a financial market are obtained accordingly. In the empirical study, we collect 13 global stock market indices from August 1, 2008, to August 30, 2018, and fit HAR-GARCH models for their daily returns. The association rules of the 13 stock markets are established based on the fitted models. In addition, the mutual interactions in the financial markets during the investigation period are better understood through various indicators of the association rules. Huang, Shih-Feng 黃士峰 2019 學位論文 ; thesis 70 zh-TW |
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碩士 === 國立高雄大學 === 統計學研究所 === 107 === This study proposes to construct association rules for global economic conditions by fitting hysteretic autoregressive models with GARCH in mean effects, denoted by HAR-GARCH, to financial time series. A Markov Chain Monte Carlo algorithm is employed to estimate the model parameters and the economic conditions of a financial market are obtained accordingly. In the empirical study, we collect 13 global stock market indices from August 1, 2008, to August 30, 2018, and fit HAR-GARCH models for their daily returns. The association rules of the 13 stock markets are established based on the fitted models. In addition, the mutual interactions in the financial markets during the investigation period are better understood through various indicators of the association rules.
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author2 |
Huang, Shih-Feng |
author_facet |
Huang, Shih-Feng Chang, Yi-Cheng 張益誠 |
author |
Chang, Yi-Cheng 張益誠 |
spellingShingle |
Chang, Yi-Cheng 張益誠 Applications of HAR-GARCH Models |
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Chang, Yi-Cheng |
title |
Applications of HAR-GARCH Models |
title_short |
Applications of HAR-GARCH Models |
title_full |
Applications of HAR-GARCH Models |
title_fullStr |
Applications of HAR-GARCH Models |
title_full_unstemmed |
Applications of HAR-GARCH Models |
title_sort |
applications of har-garch models |
publishDate |
2019 |
url |
http://ndltd.ncl.edu.tw/handle/dy2tky |
work_keys_str_mv |
AT changyicheng applicationsofhargarchmodels AT zhāngyìchéng applicationsofhargarchmodels AT changyicheng zhìhòuzìhuíguītiáojiànyìzhìbiànyìmóxíngzhīyīngyòng AT zhāngyìchéng zhìhòuzìhuíguītiáojiànyìzhìbiànyìmóxíngzhīyīngyòng |
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1719272433849991168 |