Nonnegative GARCH-type models with conditional Gamma distributions and their applications

【Author】 Hwang, Eunju; Jeon, Chanhyeok

【Source】COMPUTATIONAL STATISTICS & DATA ANALYSIS

【影响因子】2.035

【Abstract】Most of real data are characterized by positive, asymmetric and skewed distributions of various shapes. Modelling and forecasting of such data are addressed by proposing nonnegative conditional heteroscedastic time series models with Gamma distributions. Three types of time- varying parameters of Gamma distributions are adopted to construct the nonnegative GARCH models. A condition for the existence of a stationary Gamma-GARCH model is given. Parameter estimates are discussed via maximum likelihood estimation (MLE) method. A Monte-Carlo study is conducted to illustrate sample paths of the proposed models and to see finite-sample validity of the MLEs, as well as to evaluate model diagnostics using standardized Pearson residuals. Furthermore, out-of-sample forecasting analysis is performed to compute forecasting accuracy measures. Applications to oil price and Bitcoin data are given, respectively.

【Keywords】Conditional heteroscedastic model; Gamma distribution; MLE; Forecasting

【发表时间】2024 OCT

【收录时间】2024-11-11

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币