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- [27] Inflation, output growth and their uncertainties: some multivariate GARCH-M evidence for NigeriaJOURNAL OF SOCIAL AND ECONOMIC DEVELOPMENT, 2022, 24 (01) : 197 - 210Eregha, Perekunah B.Ndoricimpa, Arcade
A functional coefficient GARCH-M model
被引：14
|作者：
Zhang, Xingfa
[1
]
Wong, Heung
[2
]
Li, Yuan
[1
]
机构：
[1] Guangzhou Univ, Sch Econ & Stat, Guangzhou 510006, Guangdong, Peoples R China
[2] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
基金：
高等学校博士学科点专项科研基金;
中国国家自然科学基金;
关键词：
Consistency;
Functional coefficient;
GARCH-M model;
Risk aversion;
IN-MEAN MODEL;
RISK-AVERSION;
VOLATILITY;
TIME;
RETURNS;
STOCKS;
D O I：
10.1080/03610926.2014.906615
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：
Motivated by the time varying property of the risk aversion and the functional coefficient regression model, a functional coefficient GARCH-M model is studied. The proposed GARCH-M type model gives a way to study the relationship between risk aversion and certain variable. An approach is given to estimate the model and some theoretical results are obtained. Simulations demonstrate that the method performs well. From the empirical studies, it is shown that the proposed model can better fit the considered data compared to the usual parametric models.
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页码：3807 / 3821
页数：15
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