Modelling financial time series with SEMIFAR-GARCH model

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Modelling financial time series with SEMIFAR-GARCH model

Author Info

Feng, Yuanhua
Beran, Jan
Yu, Keming

Additional information is available for the following registered author(s):

Yuanhua Feng

Abstract

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short- and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error term. So that the model can be applied in practice. We then illustrate the model and estimation methods with a few of different finance data sets.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1593.

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Date of creation: 2006
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Handle: RePEc:pra:mprapa:1593

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Paper
- Yuanhua Feng & Jan Beran & Keming Yu, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Paper 07-14, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

Find related papers by JEL classification:
G00 - Financial Economics - - General - - - General
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-02-10 (All new papers)
NEP-ECM-2007-02-10 (Econometrics)
NEP-ETS-2007-02-10 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)
Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. [Downloadable!] (restricted)
Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 177-210. [Downloadable!] (restricted)
Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Paper 99-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June. [Downloadable!]
Other versions:
- Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University. [Downloadable!]
Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January. [Downloadable!] (restricted)
Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August. [Downloadable!] (restricted)
Jan Beran & Yuanhua.Feng, 2001. "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Paper 01-11, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Yuanhua Feng & Jan Beran, 2007. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 07-15, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
Other versions:
- Yuanhua Feng, 2002. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
Other versions:
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus. [Downloadable!]

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