Comparison of Long Memory and Asymmetry Capturing Performance for GARCH and Figarch Models with NIG Distribution for Thai Exchange Rates

Aurasiri Arkarawanatorn ； Prapatchon Jariyapan ； Songsak Sriboonchitta ； Pairat Kanjanakaroon

《管理科學與統計決策》 7卷4期 (2010/12) Pp. 60-72

https://doi.org/10.6704/JMSSD.2010.7.4.60

並列摘要

無資料

並列關鍵字

FIGARCH ； NIG Distribution ； Hyperbolic Memory ； Conditional Volatility ； Exchange Rate

參考文獻

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Barndoff-Nielsen, O. E.(1997).Normal inverse Gaussian distributions and stochastic volatility modeling.Scandinavian Journal of Statistics.

Beine, Michel,Bénassy-Quéré, Agnès,Lecourt, Christelle(1999).The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations.CEPII working papers.(CEPII working papers).,未出版.

Bentes, Sonia R.,Menezes, Rui,Mendes, Diana A.(2008).Long memory and volatility clustering: Is the empirical evidence consistent across stock market.Physica.

Bordignon, Silvano,Caporin, Massimiliano,Lisi, Francesco(2006).Generalised long-memory GARCH models for intra-daily volatility.Computational Statistics & Data Analysis Archive.