Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

1. Auflage 2022
ISBN: 978-3-658-38617-7
Verlag: Springer

Buch, Englisch, 237 Seiten, Paperback, Format (B × H): 148 mm x 210 mm, Gewicht: 341 g

Reihe: Gabler Theses

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.

Zielgruppe

Research

Autoren/Hrsg.

Old, Oliver

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

Introduction.- Financial time series.- Smoothing long term volatility.- 4 Free-knot spline-GARCH model.- Simulation study.- Empirical study.- Conclusion.

Über Autor(innen)

The dissertation was written at the Chair of Applied Statistics and Methods of Empirical Social Research at the Faculty of Economics and Business Administration of the FernUniversität in Hagen.From 2021 Oliver Old researched in the field of applied statistics, machine learning and data science at two EU-Horizon projects at the Department of Anesthesiology, Intensive Care and Pain Therapy at the University Hospital Frankfurt.