Description

Book Synopsis

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.



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

Modeling Time-Varying Unconditional Variance by

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    A Paperback / softback by Oliver Old

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      Book details

      Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
      Published 28 July 2022
      ISBN-13 9783658386177
      978-3658386177
      ISBN-10 3658386177
      Also in:
      Business mathematics and systems Finance and the finance industry Business applications

      Description

      Book Synopsis

      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.



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

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