GARCH(1,1) models with stable residuals

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Title GARCH(1,1) models with stable residuals
Autor: Tserakh, Uladzimir; Trusz, Mikołaj
Date: 2018
Źródło: Studia Informatica : systemy i technologie informacyjne. Nr 22 (2018), s. 47-57
Abstract: The focus of this paper is the use of stable distributions for GARCH models. Such models are applied for the analysis of financial and economic time series, which have several special properties: volatility clustering, heavy tails and asymmetry of residuals distributions. Below we compare the properties of stable and tempered stable distributions and describe methodologies for constructing models and subsequent estimation of parameters using the maximum likelihood method. We also analyze an example of building models on real data in order to illustrate that tempered stable distributions could be used in financial time series models. Moreover, such distributions can show better results in comparison with traditionally used distributions.

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Uznanie autorstwa-Na tych samych warunkach 3.0 Polska Except where otherwise noted, this item's license is described as Uznanie autorstwa-Na tych samych warunkach 3.0 Polska

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