A Flexible Parametric Garch Model With An Application To Exchange Rates

A Flexible Parametric Garch Model With An Application To Exchange Rates
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灵活的参数 Garch 模型及其在汇率中的应用

DOI：
10.1002/jae.606
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发表时间：
2001
期刊：
--
影响因子：
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通讯作者：
James B. McDonald
James B. McDonald
中科院分区：
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文献类型：
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作者：
Kai;C. Fawson;C. Barrett;James B. McDonald

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包括汇率在内的许多资产价格都表现出稳定期，其间偶尔会出现大幅、往往是单边的调整。从统计学上讲，这产生了汇率变化的经验分布，表现出高峰值，长尾和偏度。本文介绍了一种基于指数广义贝塔（EGB）分布族的具有灵活参数误差分布的Gestival模型。应用于每日美元汇率数据的六种主要货币，证据的基础上比较实际和预测的高阶矩和拟合优度检验有利于GARCH-EGB 2模型比更传统的GARCH-T和EGARCH-T模型的替代品，特别是对汇率数据的偏态特征。版权所有© 2001约翰威利父子有限公司。(This摘要是从本条目的另一个版本中借用的。）
Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher-order moments and goodness-of-fit tests favours the GARCH-EGB2 model over more conventional GARCH-t and EGARCH-t model alternatives, particularly for exchange rate data characterized by skewness. Copyright © 2001 John Wiley & Sons, Ltd.(This abstract was borrowed from another version of this item.)