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

By:

Old, Oliver

Material type: Text

TextPublication details: Springer Switzerland 2022Description: xxii, 237 pISBN:

9783658386177

Subject(s):

GARCH Model

DDC classification:

330 OLD

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.

List(s) this item appears in: Non Fiction

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Holdings
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

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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