Academic Journal
Misspecification and domain issues in fitting Garch(1,1) models
| العنوان: | Misspecification and domain issues in fitting Garch(1,1) models |
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| المؤلفون: | BELLINI, FABIO, Bottolo, L. |
| المساهمون: | Bellini, F, Bottolo, L |
| بيانات النشر: | M. Dekker] |
| سنة النشر: | 2009 |
| المجموعة: | Università degli Studi di Milano-Bicocca: BOA (Bicocca Open Archive) |
| مصطلحات موضوعية: | Innovation distribution, IGarch effect, Monte Carlo simulations, weak and strong stationarity, volatility forecasting |
| الوصف: | In this work we investigate the impact of misspecification of the innovations in fitting Garch(1, 1) models. We show that an incorrect specification of the innovations together with the reduction of the parameter space to the weak stationarity region, can give rise to a spurious IGARCH effect. We address this point through an extensive Monte Carlo simulation study. We also analyze the impact of misspecification on forecasted volatilities, showing that innovations with light tails can lead to a remarkable overestimate of volatilities. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| Relation: | info:eu-repo/semantics/altIdentifier/wos/WOS:000260571100003; volume:38; issue:1; firstpage:31; lastpage:45; journal:COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION; http://hdl.handle.net/10281/6252; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-55449099617 |
| DOI: | 10.1080/03610910802395653 |
| الاتاحة: | http://hdl.handle.net/10281/6252 https://doi.org/10.1080/03610910802395653 |
| رقم الانضمام: | edsbas.A9721356 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1080/03610910802395653 |
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