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ArtikelRobust Modelling of DTARCH Models  
Oleh: Hui, Yer van ; Jian, Jiancheng
Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 2 (2005), page 143-158.
Topik: REGRESSION; conditional heteroskedasticity; double - threshold; median regression; model diagnostic checking; robust portmanteau statistic
Fulltext: 143.pdf (635.33KB)
Ketersediaan
  • Perpustakaan Pusat (Semanggi)
    • Nomor Panggil: EE39.1
    • Non-tandon: 1 (dapat dipinjam: 0)
    • Tandon: tidak ada
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Isi artikelAutoregressive conditional heteroscedastic (ARCH) models and its extensions are widely used in modelling volatility in financial time series. One of the variants, the double - threshold autoregressive conditional heteroscedastic (DTARCH) model, has been proposed to model the conditional mean and the conditional variance that are piecewise linear. The DTARCH model is also useful for modelling conditional heteroscedasticity with nonlinear structures such as asymmetric cycles, jump resonance and amplitude - frequence dependence. Since asset returns often display heavy tails and outliers, it is worth studying robust DTARCH modelling without specific distribution assumption. This paper studies DTARCH structures for conditional scale instead of conditional variance. We examine L1 - estimation of the DTARCH model and derive limiting distributions for the proposed estimators. A robust portmanteau statistic based on the L1 - norm fit is constructed to test the model adequacy. This approach captures various nonlinear phenomena and stylized facts with desirable robustness. Simulations show that the L1 - estimators are robust against innovation distributions and accurate for a moderate sample size, and the proposed test is not only robust against innovation distributions but also powerful in discriminating the delay parameters and ARCH models. It is noted that the quasi - likelihood modelling approach used in ARCH models is inappropriate to DTARCH models in the presence of outliers and heavy tail innovations.
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