淡江大學機構典藏:Item 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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