Building an ARMA-TGARCH Model
| Autor: | Jane, Ten-Der, 鄭天德 |
|---|---|
| Rok vydání: | 2002 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 90 The purpose of an ARMA-TGARCH model is to modify GARCH models assume that only the size and not the positivity or negativity of unanticipated excess returns volatility determines features. In this paper, we use the previous shock of lag-1 act as threshold variable and adopt the 「0」value treat as the branch point of positive and negative shock to build volatility models, hence, it is called a TGARCH model. For building model, the conditional mean term is constructed by an ARMA model and the conditional variance (or volatility) is built by a GARCH model. The result of this model can interpret as follow: (a) Volatility, the change rate of volatility and implied volatility depend on the sign of the former shock.(b)It is more simpler than an EGARCH model for capturing the sign of shock.(c)To extend the result to evaluate risk term of Black & Scholes (1973) options model. The method is used to estimate a model of the risk premium on the Taiwan, Japan valued-weight market index and IBM company stock returns. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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