PL EN


2007 | 54 | 2 | 28-46
Article title

A NEW GARCH PROCESS WITH HYPERBOLIC NOISE

Authors
Title variants
Languages of publication
PL
Abstracts
EN
In this article the author discusses the application of the hyperbolic (HYP) distributions in modeling of a volatility in the financial and real estate markets. He analyses and builds a new GARCH-type process with hyperbolic noise (the HYP-GARCH (p,q) process). He derives moment structure for this new process and necessary and sufficient conditions for the existence of the unconditional order moments of the strictly stationary and ergodic solution in this process. Moreover, he computes the log likelihood function for the HYP-GARCH(p,q) process in Theorem 5.1 and, at the end, he discusses the quality of the adjustment of the (1,1)-version of the analysed process to the real estate market (empirical) data.
Year
Volume
54
Issue
2
Pages
28-46
Physical description
Document type
ARTICLE
Contributors
author
  • P. Talar, Narodowy Bank Polski, ul. Swietokrzyska 11/21, 00-919 Warszawa, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
07PLAAAA02675460
YADDA identifier
bwmeta1.element.10b7a2d5-aa4d-39cf-b58a-dc40990f829b
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