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arXiv · 1803.07074

On Time-Varying Amplitude HGARCH Mode

Ferdous Mohammadi Basatini·Saeid Rezakhah
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Abstract

The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well. A score test is introduced to check the time-varying behavior in amplitude. Some value-at-risk tests are applied to evaluate the forecastings. Simulations are provided which provide further support to the proposed model. We have also have shown the competative performance of our model in forecasting, by compairing it with HGARH and FIGARCH models for some period of SP500 indices.

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Ferdous Mohammadi Basatini, Saeid Rezakhah. 2018-03-19. On Time-Varying Amplitude HGARCH Mode. https://arxiv.org/abs/1803.07074

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