On Time-Varying Amplitude HGARCH Mode
Statistics Theory
2018-03-21 v1 Statistics Theory
Abstract
The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well. A score test is introduced to check the time-varying behavior in amplitude. Some value-at-risk tests are applied to evaluate the forecastings. Simulations are provided which provide further support to the proposed model. We have also have shown the competative performance of our model in forecasting, by compairing it with HGARH and FIGARCH models for some period of SP500 indices.
Cite
@article{arxiv.1803.07074,
title = {On Time-Varying Amplitude HGARCH Mode},
author = {Ferdous Mohammadi Basatini and Saeid Rezakhah},
journal= {arXiv preprint arXiv:1803.07074},
year = {2018}
}
Comments
15 pages. arXiv admin note: text overlap with arXiv:1803.00739