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Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis

In: Compstat 2008

Author

Listed:
  • Chunhang Chen

    (University of the Ryukyus, Department of Mathematical Sciences)

  • Seisho Sato

    (The Institute of Statistical Mathematics)

Abstract

This paper discusses the statistical behaviors and applicability of the jump-GARCH model proposed by Chen and Sato (2007), in which jump arrivals are time inhomogeneous and also state dependent. We discuss maximum likelihood estimation and likelihood ratio tests for the model. We investigate the statistical behaviors of the jump-GARCH model through financial time series analysis and showing comparisons of this model with GARCH and traditional jump models. Our results indicate that this model can reveal many important characteristics related with jump dynamics and volatility structures in asset prices.

Suggested Citation

  • Chunhang Chen & Seisho Sato, 2008. "Inhomogeneous Jump-GARCH Models with Applications in Financial Time Series Analysis," Springer Books, in: Paula Brito (ed.), Compstat 2008, pages 217-228, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2084-3_18
    DOI: 10.1007/978-3-7908-2084-3_18
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