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Article: A new hyperbolic GARCH model

TitleA new hyperbolic GARCH model
Authors
Issue Date2015
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom
Citation
Journal of Econometrics, 2015, v. 189 n. 2, p. 428-436 How to Cite?
AbstractThere are two commonly used hyperbolic GARCH processes, the FIGARCH and HYGARCH processes, in modeling the long-range dependence in volatility. However, the FIGARCH process always has infinite variance, and the HYGARCH model has a more complicated form. This paper builds a simple bridge between a common GARCH model and an integrated GARCH model, and hence a new hyperbolic GARCH model along the lines of FIGARCH models. The new model remedies the drawback of FIGARCH processes by allowing the existence of finite variance as in HYGARCH models, while it has a form nearly as simple as the FIGARCH model. Two inference tools, including the Gaussian QMLE and a portmanteau test for the adequacy of the fitted model, are derived, and an easily implemented test for hyperbolic memory is also constructed. Their finite sample performances are evaluated by simulation experiments, and an empirical example gives further support to our new model. © 2015 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/222954
ISSN
2015 Impact Factor: 1.611
2015 SCImago Journal Rankings: 3.781
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLi, M-
dc.contributor.authorLi, WK-
dc.contributor.authorLi, G-
dc.date.accessioned2016-02-16T09:21:42Z-
dc.date.available2016-02-16T09:21:42Z-
dc.date.issued2015-
dc.identifier.citationJournal of Econometrics, 2015, v. 189 n. 2, p. 428-436-
dc.identifier.issn0304-4076-
dc.identifier.urihttp://hdl.handle.net/10722/222954-
dc.description.abstractThere are two commonly used hyperbolic GARCH processes, the FIGARCH and HYGARCH processes, in modeling the long-range dependence in volatility. However, the FIGARCH process always has infinite variance, and the HYGARCH model has a more complicated form. This paper builds a simple bridge between a common GARCH model and an integrated GARCH model, and hence a new hyperbolic GARCH model along the lines of FIGARCH models. The new model remedies the drawback of FIGARCH processes by allowing the existence of finite variance as in HYGARCH models, while it has a form nearly as simple as the FIGARCH model. Two inference tools, including the Gaussian QMLE and a portmanteau test for the adequacy of the fitted model, are derived, and an easily implemented test for hyperbolic memory is also constructed. Their finite sample performances are evaluated by simulation experiments, and an empirical example gives further support to our new model. © 2015 Elsevier B.V.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jeconom-
dc.relation.ispartofJournal of Econometrics-
dc.titleA new hyperbolic GARCH model-
dc.typeArticle-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.emailLi, G: gdli@hku.hk-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.authorityLi, G=rp00738-
dc.identifier.doi10.1016/j.jeconom.2015.03.034-
dc.identifier.scopuseid_2-s2.0-84945459479-
dc.identifier.hkuros256876-
dc.identifier.volume189-
dc.identifier.issue2-
dc.identifier.spage428-
dc.identifier.epage436-
dc.identifier.isiWOS:000364613600016-
dc.publisher.placeNetherlands-

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