CONDITIONAL HETEROSKEDASTIC MODELS FOR TIME SERIES VOLATILITY ESTIMATION
DOI:
https://doi.org/10.24867/25JV01ErdeljanKeywords:
Time Series, volatility, heteroskedasticity, GARCH modelAbstract
The paper presents ARCH and GARCH models for modelling and forecasting the volatility of time series, as well as some of their modifications. The application of these models to a real dataset of the Bitcoin cryptocurrency time series is demonstrated.
References
[1] John Knight, Stephen Satchell (2007), Forcasting Volatility in the Financial Markets, Third edition, Butterworth – Heinemann
[2] Adam Hayes (20. April 2022), Heteroscedasticity Definition: Simple Meaning and Types Explained, https://www.investopedia.com/terms/h/heteroskedasticity.asp
[3] Ruel S. Tsay (2010), Analysis of Financial Time Series, Third edition, John Wiley and Sons
[4] Tim Bollerslev (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Volume 31, Issue 3, pp. 307-327
[5] Chris Brooks (2008), Introductory Econometrics for Finance, Second edition, Cambridge University Press
[6] Peijie Wang (2009), Financial Econometrics, Second edition, Routledgem
[7] David Ruppert (2004), Statistics and Finance, Springer
[8] Jon Danielsson (2011), Financial risk forecasting, John Wiley and Sons
[9] George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel (2008), Time Series Analysis Forecasting and Control, Fourth edition, John Wiley and Sons
[10] Mohamed (3rd November 2016), Model Calibration, https://support.numxl.com/hc/en-us/articles/215115906-Model-Calibration
[11] Hojatallah Goudarzi (2011), Modeling Asymmetric Volatility in the Indian Stock Market, International Journal of Business and Management, Volume 6, No. 3, pp. 221-231
[2] Adam Hayes (20. April 2022), Heteroscedasticity Definition: Simple Meaning and Types Explained, https://www.investopedia.com/terms/h/heteroskedasticity.asp
[3] Ruel S. Tsay (2010), Analysis of Financial Time Series, Third edition, John Wiley and Sons
[4] Tim Bollerslev (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Volume 31, Issue 3, pp. 307-327
[5] Chris Brooks (2008), Introductory Econometrics for Finance, Second edition, Cambridge University Press
[6] Peijie Wang (2009), Financial Econometrics, Second edition, Routledgem
[7] David Ruppert (2004), Statistics and Finance, Springer
[8] Jon Danielsson (2011), Financial risk forecasting, John Wiley and Sons
[9] George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel (2008), Time Series Analysis Forecasting and Control, Fourth edition, John Wiley and Sons
[10] Mohamed (3rd November 2016), Model Calibration, https://support.numxl.com/hc/en-us/articles/215115906-Model-Calibration
[11] Hojatallah Goudarzi (2011), Modeling Asymmetric Volatility in the Indian Stock Market, International Journal of Business and Management, Volume 6, No. 3, pp. 221-231
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Published
2024-01-03
Issue
Section
Mathematics in Engineering
