ARCH模型
跳跃
计量经济学
自回归模型
条件方差
条件概率分布
异方差
波动性(金融)
可预测性
数学
差异(会计)
随机波动
泊松分布
对比度(视觉)
统计
经济
计算机科学
人工智能
会计
物理
量子力学
作者
John M. Maheu,Thomas H. McCurdy
出处
期刊:Frontiers of economics and globalisation
日期:2008-01-01
卷期号:: 449-475
被引量:11
标识
DOI:10.1016/s1574-8715(07)00212-6
摘要
We propose a new discrete-time model of returns in which jumps capture persistence in the conditional variance and higher-order moments. Jump arrival is governed by a heterogeneous Poisson process. The intensity is directed by a latent stochastic autoregressive process, while the jump-size distribution allows for conditional heteroskedasticity. Model evaluation focuses on the dynamics of the conditional distribution of returns using density and variance forecasts. Predictive likelihoods provide a period-by-period comparison of the performance of our heterogeneous jump model relative to conventional SV and GARCH models. Furthermore, in contrast to previous studies on the importance of jumps, we utilize realized volatility to assess out-of-sample variance forecasts.
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