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ARCH Model and Financial Applications

Editorial Reviews ReviewFrom the reviews: RISKBOOK.COM "Gourieroux offers a nice balance oftheory and application in this book on ARCH modeling in finance…Thebook is well written and has extensive references. Its focus on financewill appeal to financial engineers and financial risk managers."



Product DescriptionThe classical ARMA models have limitations when applied to the field offinancial and monetary economics. Financial time series presentnonlinear dynamic characteristics and the ARCH models offer a moreadaptive framework for this type of problem. This book surveys therecent work in this area from the perspective of statistical theory,financial models, and applications and will be of interest to theoristsand practitioners. From the view point of statistical theory, ARCHmodels may be considered as specific nonlinear time series models whichallow for an exhaustive study of the underlying dynamics. It ispossible to reexamine a number of classical questions such as therandom walk hypothesis, prediction interval building, presence oflatent variables etc., and to test the validity of the previouslystudied results. There are two main categories of potentialapplications. One is testing several economic or financial theoriesconcerning the stocks, bonds, and currencies markets, or studying thelinks between the short and long run. The second is related to theinterventions of the banks on the markets, such as choice of optimalportfolios, hedging portfolios, values at risk, and the size and timesof block trading.

26 of 26 people found the following review helpful: 4.0 out of 5 stars good coverage of modern time series models used in finance, February 6, 2008 By Michael R. Chernick "statman31147" (Holland PA)- See all my reviews (REAL NAME) Gourieroux is an expert in econometrics and has written severalexcellent texts on time series analysis and its application ineconomics and finance in particular. This text specializes as a primeron ARCH models. These models are very useful in finance where the timeseries are often nonlinear and volatile. This text covers the subjectin just over 200 pages. Many useful references are provided in thevarious reference lists at teh back of the book. Comment Comment | Permalink | Was this review helpful to you? [url=]Yes[/url] [url=]No[/url] (Report this)

24 of 25 people found the following review helpful: 4.0 out of 5 stars A great manual, but pretty hard, April 19, 2001 By Daniel Ventosa S (Marseille, France)- See all my reviews So far, I own three books of Gourieroux. This one is the first Ienjoyed reading. ARCH-type models are pretty recent (Engle, 1982) and Ithink there is not a plethora of manuals dealing with them at anintroductory level. This is not exactly an introductory book; but itcovers extensively (till 1993) the topic and gives all the statisticalresults and demonstrations. The first chapters are particularly good:the introduction is pretty clear and persuasive; the explanation ofstationarity proves to be very useful and the examples of no linearityresume well the mathematical tools available nowadays. After that, thechallenging part begins: a chapter introducing the ARCH model (allstatistical properties appear there), another one dealing withestimation and test procedures, GARCH... Half of the manual isdedicated to interesting (but sometimes pretty complex) financialapplications, such as the CAPM model. It has to be said that yourequire a very solid mathematical knowledge (not for undergraduateeconomists); otherwise, you will feel frustrated. I personallyrecommend (for those ignoring everything about ARCH's) to get startedwith Johnston and Dinardo's brief chapter of ARCH (EconometricMethods), then reading the very same chapter in Ender's manual and thenreading Hamilton's ARCH's chapter. Once you understood this literature,you will be able to read comfortably Gourieroux's manual, which is farmore complete than the others. There is a lot of mathematicalformulation, but this time, Gourieroux explains it better than usual. Comment Comment | Permalink | Was this review helpful to you? [url=]Yes[/url] [url=]No[/url] (Report this)

10 of 13 people found the following review helpful: 2.0 out of 5 stars Academic and dated, April 30, 2002 By P. H. Lasky (Rancho Santa Fe, CA United States)- See all my reviews (REAL NAME) This text is not helpful to the reader who wishes to devise andestimate GARCH models. Moreover it provides no insight into thepractical use of these models in the analyses of financial data. Muchof the material appears to be lecture notes by an academic who has noidea of how to apply GARCH models. Particularly missing is anydiscussion of how to estimate the parameters of GARCH models. Comment Comment | Permalink | Was this review helpful to you? [url=]Yes[/url] [url=]No[/url] (Report this)