Modeling time-varying unconditional variance by means of a free-knot splinegarch model

By: Old, Oliver Material type: Text

TextPublication details: Switzerland Springer 2022 Description: xxii, 237 pISBN: 9783658386177Subject(s): GARCH ModelDDC classification: 330 Summary: The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.

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Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	330 OLD (Browse shelf(Opens below))	1	Available		004692

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Previous	303.482 SHE Dark commerce:	306.70954 KIR Fifteen judgments: cases that shaped India’s financial landscape	322.645 MCM Options as a strategic investment: a comprehensive analysis of listed stock option strategies	330 OLD Modeling time-varying unconditional variance by means of a free-knot splinegarch model	330 OZE Liquidity, markets and trading in action: an interdisciplinary perspective	330 THO Shadow trades:	330.0151 MIS Financial mathematics	Next

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.

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