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

页码：2538 / 2547

页数：10

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