On Mixture GARCH Models: Long, Short Memory and Application in Finance

Journal of Mathematics and Statistics Studies

View Publication Info
 
 
Field Value
 
Title On Mixture GARCH Models: Long, Short Memory and Application in Finance
 
Creator Zeghdoudi, Halim
Amrani , Madjda
 
Subject GARCH models
Mixture Models
long and short memory
 
Description In this work, we study the famous model of volatility; called model of conditional heteroscedastic autoregressive with mixed memory MMGARCH for modeling nonlinear time series. The MMGARCH model has two mixing components, one is a GARCH short memory and the other is GARCH long memory. the main objective of this search for finds the best model between mixtures of the models we made (long memory with long memory, short memory with short memory and short memory with long memory) Also, the existence of its stationary solution is discussed. The Monte Carlo experiments demonstrate we discovered theoretical. In addition, the empirical application of the MMGARCH model (1, 1) to the daily index DOW and NASDAQ illustrates its capabilities; we find that for the mixture between APARCH and EGARCH is superior to any other model tested because it produces the smallest errors.
 
Publisher Al-Kindi Center for Research and Development.
 
Date 2021-06-24
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://al-kindipublisher.com/index.php/jmss/article/view/1802
10.32996/jmss.2021.2.2.1
 
Source Journal of Mathematics and Statistics Studies; Vol. 2 No. 2 (2021): Journal of Mathematics and Statistics Studies; 01-07
2709-4200
 
Language eng
 
Relation https://al-kindipublisher.com/index.php/jmss/article/view/1802/1502
 
Rights Copyright (c) 2021 Journal of Mathematics and Statistics Studies
 

Contact Us

The PKP Index is an initiative of the Public Knowledge Project.

For PKP Publishing Services please use the PKP|PS contact form.

For support with PKP software we encourage users to consult our wiki for documentation and search our support forums.

For any other correspondence feel free to contact us using the PKP contact form.

Find Us

Twitter

Copyright © 2015-2018 Simon Fraser University Library