GARCH Time Series Model

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<p>Generalized Autoregressive Conditional<br>Heteroscedastic Time Series Models</p><p> 234416.pdf (422.21 KB, 需要: 1 个论坛币)

2008-8-6 22:45:00 上传

GARCH Time Series Model
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关键词：Time Series Series Serie GARCH model GARCH time Series model

论文原文？给点介绍吧。

Autoregressive and Moving Average time series models and their combination are
reviewed. Autoregressive Conditional Heteroscedastic (ARCH) and Generalized
Autoregressive Conditional Heteroscedastic (GARCH) models are extensions of these
models. These are de ned and compared to the class of Autoregressive Moving
Average models. Maximum likelihood estimation of parameters is examined.
Conditions for existence and stationarity of GARCH models are discussed and the
moments of the observations and the conditional variance are derived. Characteristics
of low order GARCH models are explored further through simulations with
dierent initial parameter values. As examples, GARCH models with dierent orders
are tted to the Standard & Poor's 500 Stock Price Index.

Contents
Approval Page . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii
Abstract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii
Acknowledgments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iv
List of Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . viii
List of Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 Time Series Concepts and Models . . . . . . . . . . . . . . . . . . . . 3
2.1 Stationarity . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 Standard Time Series Models . . . . . . . . . . . . . . . . . . 5
2.2.1 General Autoregressive Models . . . . . . . . . . . . 5
2.2.2 General Moving Average Models . . . . . . . . . . . 8
2.2.3 General Autoregressive Moving Average Models . . . 10
2.3 Financial Time Series Models . . . . . . . . . . . . . . . . . . 12
2.3.1 Autoregressive Conditional Heteroscedastic (ARCH)
Models . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.3.2 Generalized Autoregressive Conditional Heteroscedastic
(GARCH) Models . . . . . . . . . . . . . . . . . . 14
2.3.3 The ARCH(q) and the GARCH(1; 1) Models . . . . . 14
3 The GARCH(1; 1) Model . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.1 Existence of the GARCH(1; 1) Process . . . . . . . . . . . . . 16
3.2 Moments of Xt and ht . . . . . . . . . . . . . . . . . . . . . . 18
3.3 Stationarity of the GARCH(1; 1) Process . . . . . . . . . . . . 20
vi
3.4 Data Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.4.1 The Likelihood Function and Estimation of
Parameters . . . . . . . . . . . . . . . . . . . . . . . 23
3.5 A typical GARCH(1; 1) Example . . . . . . . . . . . . . . . . 25

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