التفاصيل البيبلوغرافية
| العنوان: |
Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility. |
| المؤلفون: |
Ghezal, Ahmed, Alzeley, Omar |
| المصدر: |
AIMS Mathematics (2473-6988); 2024, Vol. 9 Issue 5, p11805-11832, 28p |
| مصطلحات موضوعية: |
MARKOV chain Monte Carlo, AUTOREGRESSIVE models, TIME series analysis, BAYESIAN analysis, KALMAN filtering, PARAMETER estimation, HETEROSCEDASTICITY |
| مستخلص: |
In an endeavor to encapsulate the dual aspects of volatility progression and periodicity inherent in autocorrelation frameworks demonstrated by various nonlinear time series, a novel conceptualization emerges--the periodic threshold autoregressive stochastic volatility (PTAR-SV) model. This model served as a viable alternative to the conventional periodic threshold generalized autoregressive conditional heteroskedasticity (TGARCH) process. The inherent probabilistic framework of the PTAR-SV model incorporated certain essential features, including strict periodic stationarity, enhancing its analytical robustness. Additionally, this study established the conditions for higher-order moments to exist within the PTAR-SV model. The autocovariance structure pertaining to the powers of the PTAR-SV process has been studied. The process of parameter estimation was scrutinized via the quasi-maximum likelihood technique. This estimation approach involved assessing likelihood using prediction error decomposition and Kalman filtering. Moreover, we extended our analysis to include a Bayesian Markov chain Monte Carlo (MCMC) method based on Griddy-Gibbs sampling, particularly suitable when the distribution of model innovations follows a standard Gaussian. Through a simulation study, we evaluated the performances of both the quasimaximum likelihood (QML) and Bayesian Griddy Gibbs estimates, providing valuable insights into their respective strengths and weaknesses. Finally, we applied our newly developed methodology to model the spot rates of the euro against the Algerian dinar, demonstrating its applicability and efficacy in real-world financial modeling scenarios. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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