2012 Fiscal Year Final Research Report
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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| 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 |
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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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