文章基本信息

标题：Volatility estimation using a rational GARCH model
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作者：Rifah Hestyani Arum ; Budiatman Satiawihardja ; Harsi D.Kusumaningrum 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2018
卷号：2
期号：1
页码：127-136
DOI：10.3934/QFE.2018.1.127
语种：English
出版社：AIMS Press
摘要：The rational GARCH (RGARCH) model has been proposed as an alternative GARCH model that captures the asymmetric property of volatility. In addition to the previously proposed RGARCH model, we propose an alternative RGARCH model called the RGARCH-Exp model that is more stable when dealing with outliers. We measure the performance of the volatility estimation by a loss function calculated using realized volatility as a proxy for true volatility and compare the RGARCH-type models with other asymmetric type models such as the EGARCH and GJR models. We conduct empirical studies of six stocks on the Tokyo Stock Exchange and find that a volatility estimation using the RGARCH-type models outperforms the GARCH model and is comparable to other asymmetric GARCH models.
关键词：asymmetric volatility;rational GARCH model;bayesian inference;Markov ChainMonte Carlo;Metropolis-Hastings algorithm;realized volatility;Padé approximants;student-tdistribution;QLIKE loss function