Stationary Bootstrap Prediction Intervals for GARCH(p,q)
분야
자연과학 > 통계학
저자
( Eun Ju Hwang ) , ( Dong Wan Shin )
발행기관
한국통계학회
간행물정보
CSAM(Communications for Statistical Applications and Methods) 2013년, 제20권 제1호, 41~52페이지(총12페이지)
파일형식
02706223.pdf [무료 PDF 뷰어 다운로드]
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    영문초록
    The stationary bootstrap of Politis and Romano (1994) is adopted to develop prediction intervals of returns and volatilities in a generalized autoregressive heteroskedastic (GARCH)(p, q) model. The stationary bootstrap method is applied to generate bootstrap observations of squared returns and residuals, through an ARMA representation of the GARCH model. The stationary bootstrap estimators of unknown parameters are defined and used to calculate the stationary bootstrap samples of volatilities. Estimates of future values of returns and volatilities in the GARCH process and the bootstrap prediction intervals are constructed based on the stationary bootstrap; in addition, asymptotic validities are also shown.
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