On time-varying amplitudeHGARCHmodel

被引：1
|
作者：
Valizadeh, Toktam [1 ]
Rezakhah, Saeid [1 ]
Basatini, Ferdous Mohammadi [2 ]
机构：
[1] Amirkabir Univ Technol, Fac Math & Comp Sci, Dept Stat, 424 Hafez Ave, Tehran, Iran
[2] Islamic Azad Univ, Dept Math & Stat, Shoushtar Branch, Shoushtar, Iran
来源：
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2021年 / 26卷 / 02期
关键词：
amplitude; HGARCH; long-memory; time-varying; CONDITIONAL HETEROSCEDASTICITY; LONG MEMORY;
D O I：
10.1002/ijfe.1919
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The HGARCH model allows long-memory dependence in volatilities. A new HGARCH model with time-varying amplitude is presented in this paper. Moment properties of the model are discussed. A score test is derived to check the time-varying behaviour of the amplitude. Value-at-risk testings are done to evaluate the forecasting capability. Simulation and empirical results provide further support to the proposed model.
引用
收藏
页码：2538 / 2547
页数：10
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