Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
This is a preview. Log in through your library . Abstract This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional ...
The AUTOREG procedure can produce two kinds of predicted values for the response series and corresponding residuals and confidence limits. The residuals in both cases are computed as the actual value ...
This issue of The Journal of Risk covers topics including the estimation of value-at-risk using high-frequency data, as well as autoregressive techniques, the tail evaluation of extreme drawdowns, and ...
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...
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