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短期市場変化：GARCH Model

金融市場の短期的な変化を捉えるために頻繁に使用される統計的手法であり、リターンの分散が一定ではなく、時間とともに変化することを前提に、ボラティリティ の時間変化をモデル化する。 リスク管理や、デリバティブ価格計算、金融危機分析 ...
note

忘備録 GARCHモデル（Generalized Autoregressive Conditional Heteroskedasticity）

**GARCHモデル（Generalized Autoregressive Conditional Heteroskedasticity）**は、時系列データの「変動の激しさ（ばらつきや volatility）」が、時間とともに変わる様子をうまく捉えたいときに使われるモデルです。特に株価や為替など金融分野で有名ですが、製造業の ...
JSTOR Daily

Modeling Multiple Regimes in Financial Volatility with a Flexible Coefficient GARCH(1, 1) Model

In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
JSTOR Daily

EFFICIENT SEMIPARAMETRIC GARCH MODELING OF FINANCIAL VOLATILITY

We consider a class of semiparametric GARCH models with additive autoregressive components linked together by a dynamic coefficient. We propose estimators for the additive components and the dynamic ...
Simon Fraser University

GARCH, IGARCH, EGARCH, and GARCH-M Models

In addition, you can consider the model with disturbances following an autoregressive process and with the GARCH errors. The AR(m)-GARCH(p,q) regression model is denoted Nelson and Cao (1992) proposed ...