政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111671

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113311/144292 (79%)
Visitors : 50942564 Online Users : 995

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 統計學系 > 專書/專書篇章 > Item 140.119/111671

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111671

Title:	A vg-ngarch model for impacts of extreme events on stock returns
Authors:	陳麗霞 Kao, Lie-Jane Chen, Li-Shya Lee, Cheng-Few
Contributors:	統計系
Date:	2015-01
Issue Date:	2017-08-08 16:40:37 (UTC+8)
Abstract:	This article compares two types of GARCH models, namely, the VG-NGARCH and the GARCH-jump model with autoregressive conditional jump intensity, i.e., the GARJI model, to make inferences on the log of stock returns when there are irregular substantial price fluctuations. The VG-NGARCH model imposes a nonlinear asymmetric structure on the conditional shape parameters in a variance-gamma process, which describes the arrival rates for news with different degrees of influence on price movements and provides an ex ante probability for the occurrence of large price movements. On the other hand, the GARJI model, a mixed GARCH-jump model proposed by Chan and Maheu (Journal of Business & Economic Statistics 20:377-389, 2002), adopts two independent autoregressive processes to model the variances corresponding to moderate and large price movements, respectively. An empirical study using daily stock prices of four major banks, namely, Bank of America, J.P. Morgan Chase, Citigroup, and Wells Fargo, from 2006 to 2009 is performed to compare the two models. The goodness of fit of the VG-NGARCH model vs. the GARJI model is demonstrated. © Springer Science+Business Media New York 2015.
Relation:	Handbook of Financial Econometrics and Statistics, 2263-2279
Data Type:	book/chapter
DOI 連結:	http://dx.doi.org/10.1007/978-1-4614-7750-1_82
DOI:	10.1007/978-1-4614-7750-1_82
Appears in Collections:	[統計學系] 專書/專書篇章

Files in This Item:

File	Description	Size	Format
10.1007_978-1-4614-7750-1_82.pdf		598Kb	Adobe PDF2	432	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...