Testing for parameter constancy in GARCH() models

We propose a test for a change in the parameters of a GARCH(p,q) model. The test is based on approximate likelihood scores and does not require the observations to have finite variance. We show that the test has asymptotically correct size under weak assumptions on model errors.     

股票收益率和新息的尾部估计

利用极值理论来考虑上证综指收益率的尾部.为了选择合理的超越门限,采用平均剩余函数和De-Haan矩估计相结合的方法.在学生t分布和广义误差分布的新患假设下,用GARCH和EGARCH新息的ARMA模型拟合指数收益率,并且使用极值理论的极大似然方法估计模型残差的尾指,估计结果表明收益率的尾指和模型的残差尾指基本一致.     

基于GARCH模型考虑股本稀释作用的权证定价

考虑到认购权证对股本有稀释作用,把对认购权证定价转化为一个看涨期权的定价,运用GARCH模型得出看涨期权标的资产波动率的近似经验分布,根据期权定价的Black-Scholes公式,得出认购权证价格的近似分布.     

估计一类非线性扩散过程参数的新方法

本文基于一类非线性扩散过程的离散可观测数据，建立一种新的参数估计方法，即用GARCH类模型逼近估计相应扩散过程中的参数，并给出估计性质。     

Medium‐term horizon volatility forecasting: A comparative study

In this paper, volatility is estimated and then forecast using unobserved components‐realized volatility (UC‐RV) models as well as constant volatility and GARCH models. With the objective of forecasting medium‐term horizon volatility, various prediction methods are employed: multi‐period prediction, variable sampling intervals and scaling. The optimality of these methods is compared in terms of their forecasting performance. To this end, several UC‐RV models are presented and then calibrated using the Kalman filter. Validation is based on the standard errors on the parameter estimates and a comparison with other models employed in the literature such as constant volatility and GARCH models. Although we have volatility forecasting for the computation of Value‐at‐Risk in mind the methodology presented has wider applications. This investigation into practical volatility forecasting complements the substantial body of work on realized volatility‐based modelling in business. Copyright © 2007 John Wiley & Sons, Ltd.     

Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions

This paper proposes generalized parametric models of the short-term interest rate that nest one-factor CEV and discrete time GARCH models. The paper estimates the generalized and nested models with skewed fat-tailed distributions to determine the correct specification of the conditional distribution of interest rates. The results indicate that the discrete time models that incorporate the level and GARCH effects into the diffusion function and that accommodate the tail-thickness of the interest rate distribution perform much better than the CEV model in forecasting the future volatility of interest rates. The results also show that the significance of nonlinearity in the drift function relies crucially on the specification of the volatility function.     

GARCH模型对上海股市的一个实证研究

GARCH模型是近20年发展起来的时间序列模型，它反映了经济变量之间特殊的不确定形式：方差随时间变化而变化，所以其在金融市场的预测与决策方面有着重要的作用。本文详细介绍了GARCH模型以及其主要变形，并建立了基于t分布和正态分布假设的GARCH（1，1）模型对股票市场进行了风险分析。结果表明，基于t分布的假设能更准确地拟和GARCH（1，1）模型。     

中国股票市场星期效应的实证分析--主成份分析

本文利用主成份分析的方法,构造代表中国股市日收益率波动的第一主成份序列,通过对这一序列的残差进行自相关性与异方差性检验,选用(A(2)-A(1))～GARCH模型,分析中国股票市场"星期效应"的存在性与特征.     

基于MCMC算法的人民币汇率市场的分析——双门限非对称GARCH模型的应用

本文旨在考察,汇改后美元/人民币汇率前期收益的影响下,人民币汇率市场上非美元/人民币汇率收益均值和波动不对称的程度。为了捕捉非美元汇率收益的均值和波动不对称的特点,我们设定双门限非线性的GARCH模型,结合GJR效应(即加入非美元收益利空或利好消息的影响),利用基于MCMC算法的贝叶斯推断来完成。应用中我们选取了美元(欧元、日元、港元)/人民币日汇率数据进行分析,发现了门限非线性的结果,表明在美元和非美元汇率本身双重变化的影响下,非美元汇率收益的均值和波动同时表现出非对称的特点。并且在美元收益利好消息的影响下,美元汇率对非美元汇率的溢出效应明显增强,非美元表现出低均值回归的特点。     

The functional central limit theorem for linear processes with strong near-epoch dependent innovations

This paper discusses linear processes with innovations exhibiting asymptotic weak dependence by being strong near-epoch dependent functions of mixing processes. The functional central limit theorem for the normalized partial sum process is established. The conditions given essentially improve on existing results in the literature in terms of the “size” requirement for the amount of dependence. It is also shown that two important econometric models, ARMA and GARCH models, are strong near-epoch dependent sequences.