条件分位数自回归的条件波动估计

International Journal of Mathematical Analysis Pub Date : 1900-01-01 DOI:10.12988/IJMA.2014.47210

D. Mutunga, P. Mwita, B. Muema

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引用次数: 1

摘要

研究了用条件分位数自回归函数估计条件波动函数的问题。我们估计了在已知分布假设下的分位数间自回归范围和条件波动函数。条件波动函数估计量在理论上是一致的。一个小型的仿真研究证实了波动性估计器是一致的。数学学科分类:62G05;62 m1

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Conditional volatility estimation by conditional quantile autoregression

This paper considers the problem of estimating conditional volatility function using conditional quantile autoregression function. We estimate the interquantile autoregression range and the conditional volatility function under known distributional assumptions. The conditional volatility function estimator is found to be theoretically consistent. A small simulation study ascertains that the Volatility Estimator is consistent. Mathematics Subject Classification: 62G05; 62M1

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International Journal of Mathematical Analysis

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