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https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/24390
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| 題名: | A flexible parametric GARCH model with an application to exchange rates |
| 作者: | 王凱立;Wang, Kai-li;Fawson, Christopher;Barrett, Christopher B.;McDonald, James B. |
| 貢獻者: | 淡江大學國際貿易學系暨國際企業研究所 |
| 日期: | 2001-07 |
| 上傳時間: | 2009-11-30 18:19:58 (UTC+8) |
| 出版者: | John Wiley & Sons |
| 摘要: | Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher-order moments and goodness-of-fit tests favours the GARCH-EGB2 model over more conventional GARCH-t and EGARCH-t model alternatives, particularly for exchange rate data characterized by skewness. |
| 關聯: | Journal of applied econometrics 16(4), pp.521-536 |
| DOI: | 10.1002/jae.606 |
| 顯示於類別: | [國際企業學系暨研究所] 期刊論文
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