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Random coefficient volatility models

Author

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  • Thavaneswaran, A.
  • Peiris, S.
  • Appadoo, S.

Abstract

In financial modeling, the moments of the observed process, the kurtosis and the moments of the conditional volatility play important roles. They are very important in model identification and in forecasting the volatility (see Thavaneswaran et al. [(2005b). Forecasting volatility. Statist. Probab. Lett. 75, 1-10.]). This paper introduces random coefficient GARCH models including the class random coefficient GARCH (RC-GARCH) models and derive their higher order moments and kurtosis.

Suggested Citation

  • Thavaneswaran, A. & Peiris, S. & Appadoo, S., 2008. "Random coefficient volatility models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 582-593, April.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:582-593
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    References listed on IDEAS

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    1. A. Thavaneswaran & B. Abraham, 1988. "Estimation For Non‐Linear Time Series Models Using Estimating Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(1), pages 99-108, January.
    2. Engle, Robert F & Ng, Victor K, 1993. "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Fornari, Fabio & Mele, Antonio, 1997. "Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 49-65, Jan.-Feb..
    5. He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    7. Thavaneswaran, A. & Appadoo, S.S. & Peiris, S., 2005. "Forecasting volatility," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 1-10, November.
    8. Bovas Abraham & A. Thavaneswaran, 1991. "A nonlinear time series model and estimation of missing observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(3), pages 493-504, September.
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    1. Sabiruzzaman, Md. & Monimul Huq, Md. & Beg, Rabiul Alam & Anwar, Sajid, 2010. "Modeling and forecasting trading volume index: GARCH versus TGARCH approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 141-145, May.

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