Forecasting of Time Series Model with Stable Errors

摘要：

In this paper we present a Power GARCH model with stable errors and apply the general theory of volatility forecasting to it. The use of the new model is illustrated with an application to the volatility of stock and exchange rate returns. In general, standard GARCH is outperformed by more sophisticated Power GARCH model, but use of imperfect volatility proxies leads to loss of precision in evaluating forecasts.

关键词： power GARCH a-stable distribution volatility forecasting stable errors

作者: Hailong Chen Chengji You

作者单位: School of Computer Science & Technology Harbin University of Science and Technology Harbin, China

会议类型: 国际会议

会议名称: 2012 International Conference on Measurement,Information and Control(2012测量、信息与控制国际会议 ICMIC2012)

会议地点: 哈尔滨

会议语种:英文

页码: 298-302

在线出版日期: 2012-05-18（万方平台首次上网日期，不代表论文的发表时间）