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Conference Paper: A New Long Memory Volatility Model
| Title | A New Long Memory Volatility Model |
|---|---|
| Authors | |
| Issue Date | 2010 |
| Publisher | American Statistical Association. |
| Citation | The 2010 Joint Statistical Meetings (JSM 2010), Vancouver, BC., Canada, 31 July-5 August 2010 How to Cite? |
| Abstract | This paper proposes a new type of long memory volatility model by mixing a common GARCH and a hyperbolic decaying structures. It is superior the commonly used FIGARCH and HYGARCH models since the variance of the hyperbolic structure is finite and that of the whole process may be infinite. Some probabilistic properties and the quasi-maximum likelihood estimation are also developed. The simulation experiments and a real example give further support to this new model. |
| Description | Financial Econometrics and Risk Management — Topic Contributed Papers ; IMS, Section on Risk Analysis : Abstract - #308097 |
| Persistent Identifier | http://hdl.handle.net/10722/241358 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Li, G | - |
| dc.date.accessioned | 2017-06-08T03:41:33Z | - |
| dc.date.available | 2017-06-08T03:41:33Z | - |
| dc.date.issued | 2010 | - |
| dc.identifier.citation | The 2010 Joint Statistical Meetings (JSM 2010), Vancouver, BC., Canada, 31 July-5 August 2010 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/241358 | - |
| dc.description | Financial Econometrics and Risk Management — Topic Contributed Papers ; IMS, Section on Risk Analysis : Abstract - #308097 | - |
| dc.description.abstract | This paper proposes a new type of long memory volatility model by mixing a common GARCH and a hyperbolic decaying structures. It is superior the commonly used FIGARCH and HYGARCH models since the variance of the hyperbolic structure is finite and that of the whole process may be infinite. Some probabilistic properties and the quasi-maximum likelihood estimation are also developed. The simulation experiments and a real example give further support to this new model. | - |
| dc.language | eng | - |
| dc.publisher | American Statistical Association. | - |
| dc.relation.ispartof | Joint Statistical Meetings, Vancouver, JSM 2010 | - |
| dc.title | A New Long Memory Volatility Model | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Li, G: gdli@hku.hk | - |
| dc.identifier.authority | Li, G=rp00738 | - |
| dc.identifier.hkuros | 187379 | - |
| dc.publisher.place | United States | - |