Is stochastic volatility more flexible than garch
Is stochastic volatility more flexible than garch
复制标题
随机波动率比 garch 更灵活吗
DOI：
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
M. A. Carnero
中科院分区：
文献类型：
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作者：
E. Ruiz;D. Peña;M. A. Carnero
本文比较了GARCH和ARSV模型充分代表高频金融时间序列中通常观察到的主要经验性质的能力：高峰度，平方观测值的一阶自相关性小，平方观测值的自相关系数向零缓慢衰减。我们表明，ARSV（1）模型是更灵活的比Gestival（1，1）模型在这个意义上，它是能够产生一系列更高的峰度和较小的一阶自相关平方更广泛的参数规格。我们的研究结果有助于澄清在真实的金融时间序列实证分析中的一些困惑。
This paper compares the ability of GARCH and ARSV models to represent adequately the main empirical properties usually observed in high frequency financial time series: high kurtosis, small first order autocorrelation of squared observations and slow decay towards zero of the autocorrelation coefficients of squared observations. We show that the ARSV(1) model is more flexible than the GARCH(1,1) model in the sense that it is able to generate series with higher kurtosis and smaller first order autocorrelation of squares for a wider variety of parameter specifications. Our results may help to clarify some puzzles raised in the empirical analysis of real financial time series.