HY-A-PARCH: A Stationary A-PARCH Model with Long Memory

dc.contributor.author	Schoffer, Olaf	de
dc.date.accessioned	2004-12-06T18:41:40Z
dc.date.available	2004-12-06T18:41:40Z
dc.date.issued	2003	de
dc.description.abstract	The FI-A-PARCH process has been developed by Tse (1998) to model essential characteristics of financial market returns. However, due to the nonstationarity described by Níguez (2002) the process exhibits infinite conditional second moments and no statements about the autocovariance function can be derived. Thus, the new Hyperbolic A-PARCH model is considered, first introduced in Schoffer (2003). Subsequently the characteristics of this extension of the FI-A-PARCH process are inspected. It can be shown, that under certain parameter restrictions the intrinsic process as well as the process of conditional volatilities is stationary. Furthermore, for an asymmetric transformation of the conditional volatilities the presence of long memory is proven. Thus, the introduced model is able to reproduce the main characteristics of financial market returns such as volatility clustering, leptokurtosis, asymmetry and long memory.	en
dc.format.extent	200919 bytes
dc.format.mimetype	application/pdf
dc.identifier.uri	http://hdl.handle.net/2003/5003
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-6826
dc.language.iso	en
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject.ddc	310	de
dc.title	HY-A-PARCH: A Stationary A-PARCH Model with Long Memory	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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