ON MIXTURE MEMORY GARCH MODELS

CORC > 厦门大学 > 经济学院－已发表论文

	ON MIXTURE MEMORY GARCH MODELS
	Li, Muyi ; Li, Wai Keung ; Li, Guodong ; Li MY(李木易)
刊名	http://dx.doi.org/10.1111/jtsa.12037
	2013
关键词	AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY ARCH(INFINITY) MODELS MAXIMUM-LIKELIHOOD EM ALGORITHM LONG MEMORY HETEROSCEDASTICITY VOLATILITY DEPENDENCE
英文摘要	Hong Kong Research Grants Council [HKU 702908P]; MOE key lab in Econometrics at Wang yanan institute; We propose a new volatility model, which is called the mixture memory generalized autoregressive conditional heteroskedasticity (MM-GARCH) model. The MM-GARCH model has two mixture components, of which one is a short-memory GARCH and the other is the long-memory fractionally integrated GARCH. The new model, a special ARCH() process with random coefficients, possesses both the properties of long-memory volatility and covariance stationarity. The existence of its stationary solution is discussed. A dynamic mixture of the proposed model is also introduced. Other issues, such as the expectation-maximization algorithm as a parameter estimation procedure, the observed information matrix, which is relevant in calculating the theoretical standard errors, and a model selection criterion, are also investigated. Monte Carlo experiments demonstrate our theoretical findings. Empirical application of the MM-GARCH model to the daily S&P 500 index illustrates its capabilities.
语种	英语
出版者	WILEY-BLACKWELL
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90142]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Li, Muyi,Li, Wai Keung,Li, Guodong,et al. ON MIXTURE MEMORY GARCH MODELS[J]. http://dx.doi.org/10.1111/jtsa.12037,2013.
APA	Li, Muyi,Li, Wai Keung,Li, Guodong,&李木易.(2013).ON MIXTURE MEMORY GARCH MODELS.http://dx.doi.org/10.1111/jtsa.12037.
MLA	Li, Muyi,et al."ON MIXTURE MEMORY GARCH MODELS".http://dx.doi.org/10.1111/jtsa.12037 (2013).