Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Download or Read eBook Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model PDF written by Oliver Old and published by Springer Nature. This book was released on 2022-07-27 with total page 260 pages. Available in PDF, EPUB and Kindle.
Author | : Oliver Old |
Publisher | : Springer Nature |
Total Pages | : 260 |
Release | : 2022-07-27 |
ISBN-10 | : 9783658386184 |
ISBN-13 | : 3658386185 |
Rating | : 4/5 (84 Downloads) |
Book Synopsis Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model by : Oliver Old
Book excerpt: 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.