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A Study for Augmented GARCH(p, q) Process

Title
A Study for Augmented GARCH(p, q) Process
Authors
陳宣榮
Issue Date
2004
Department/Major
대학원 통계학과
Publisher
이화여자대학교 일반대학원
Degree
Master
Advisors
李外淑
Abstract
Since the introduction by Engle(1982) of autoregressive conditionally heteroskedastic(ARCH) models and their generalization by Bollerslev(1986), numerous GARCH-type models have been developed and successfully applied in finance and macroeconomics. In this paper, we consider the generalized autoregressive conditionally heteroskedastic(GARCH) type model. And we show a condition for a strict stationarity and β-mixing with exponential decay rates of a GARCH-type model by adopting the generalized polynomial random coefficient vector autoregressive model approach.;Engle이 1982년 ARCH(autoregressive conditionally heteroskedastic) 모형을 소개하고 Bollerslev가 일반화된 ARCH모형을 소개한 이후, 여러종류의 GARCH(generalized autoregressive conditionally heteroskedastic) 형태모형이 소개되었고, 이 모형들은 재정학과 거시 경제학에 적용되어왔다. 이 논문에서는 일반화된 GARCH모형을 소개한다. 그리고 R.C.V (random coefficient vector) 모델 접근법을 적용하여 이 모형의 stationarity와 beta-mixing with exponential decay rates에 관한 조건을 보이겠다.
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