关于正态拉普拉斯随机波动模型

Q3 Mathematics

Stochastics and Quality Control Pub Date : 2022-11-23 DOI:10.1515/eqc-2022-0013

Shiji Kavungal, Rahul Thekkedath

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引用次数: 0

摘要

摘要本文分析了一阶正态拉普拉斯自回归过程生成的随机波动模型。采用广义矩量法对模型参数进行估计。通过仿真实验验证了估计的性能。最后，提供了一个真实的数据分析，以说明所提出的模型的实际效用，并表明它捕获了财务回报系列的风格化因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On Normal-Laplace Stochastic Volatility Model

Abstract This paper analyses a stochastic volatility model generated by first order normal-Laplace autoregressive process. The model parameters are estimated by the generalized method of moments. A simulation experiment is carried out to check the performance of the estimates. Finally, a real data analysis is provided to illustrate the practical utility of the proposed model and show that it captures the stylized factors of the financial return series.

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来源期刊

Stochastics and Quality Control Mathematics-Discrete Mathematics and Combinatorics

CiteScore

1.10

自引率

0.00%

发文量