Financial Time Series Analysis by GARCH Model with Rational Functions
| Project/Area Number |
22500267
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Hiroshima University of Economics |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2010: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 時系列解析 / モデル選択 / ベイズ推定 / マルコフ連鎖モンテカルロ法 / データサ イエンス / GARCH モデル / GARCHモデル / 情報量基準 / 実現ボラティリティ / AIC / DIC / 経済統計学 / 金融データ / 数理ファイナンス |
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| Research Abstract |
An asymmetric GARCH model is constructed with a rational function, called “R-GARCH” model. We compare the R-GARCH model with other asymmetric GARCH models such as EGARCH and GJR models by information criterions. We find that the R-GARCH model is superior to other models, depending on stock data we use. We also construct a GARCH model with an error term by a rational function and find that the model is superior to the GARCH model with a standard normal distribution.
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Report
(4 results)
Research Products
(18 results)
