Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/40085
Título: | Specification and testing of multiplicative time-varying GARCH models with applications |
Autor(es): | Amado, Cristina Teräsvirta, Timo |
Palavras-chave: | Conditional heteroskedasticity Misspecification testing Modelling volatility Nonlinear model building Time-varying parameter model C12 C22 C51 C52 |
Data: | 2017 |
Editora: | Taylor and Francis |
Revista: | Econometric Reviews |
Citação: | Amado, C., & Terasvirta, T. (2017). Specification and testing of multiplicative time-varying GARCH models with applications. Econometric Reviews, 36(4), 421-446. doi: 10.1080/07474938.2014.977064 |
Resumo(s): | In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/40085 |
DOI: | 10.1080/07474938.2014.977064 |
ISSN: | 0747-4938 1532-4168 |
Versão da editora: | http://www.tandfonline.com/doi/abs/10.1080/07474938.2014.977064#.VqeavJqLSUk |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Specification and testing of multiplicative time-varying.pdf Acesso restrito! | 9,86 MB | Adobe PDF | Ver/Abrir |