INVESTIGATING LONG-RANGE DEPENDENCE IN AMERICAN TREASURY BILLS VARIATIONS AND VOLATILITIES DURING STABLE AND UNSTABLE PERIODS
INVESTIGATING LONG-RANGE DEPENDENCE IN AMERICAN TREASURY BILLS VARIATIONS AND VOLATILITIES DURING STABLE AND UNSTABLE PERIODS
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DOI：
10.1142/s0218348x16500250
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发表时间：
2016-06
期刊：
影响因子：
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通讯作者：
S. Lahmiri
中科院分区：
文献类型：
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作者：
S. Lahmiri
去趋势波动分析 (DFA) 用于检查美国国库券 (TB) 在 TB 利率低波动和高波动期间的变化和波动的长期依赖性。波动率序列是在高斯、学生和广义误差分布 (GED) 假设下通过广义自回归条件异方差 (GARCH) 模型估计的。 3个月、6个月和1年结核病数据的基于DFA的Hurst指数表明，总体上结核病变化过程的动态特征是稳定时期（2008年国际金融危机前）的持续性和不稳定时期（2008年国际金融危机后）的反持续性。对于波动率序列，发现；稳定期； 3个月波动过程更可能是随机的，6个月波动过程是反持续性的，1年波动过程是持续性的。对于不稳定时期，估计结果表明，生成过程对于所有期限和所有分布假设都是持续的。
Detrended fluctuation analysis (DFA) is used to examine long-range dependence in variations and volatilities of American treasury bills (TB) during periods of low and high movements in TB rates. Volatility series are estimated by generalized autoregressive conditional heteroskedasticity (GARCH) model under Gaussian, Student, and the generalized error distribution (GED) assumptions. The DFA-based Hurst exponents from 3-month, 6-month, and 1-year TB data indicates that in general the dynamics of the TB variations process is characterized by persistence during stable time period (before 2008 international financial crisis) and anti-persistence during unstable time period (post-2008 international financial crisis). For volatility series, it is found that; for stable period; 3-month volatility process is more likely random, 6-month volatility process is anti-persistent, and 1-year volatility process is persistent. For unstable period, estimation results show that the generating process is persistent for all maturities and for all distributional assumptions.