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統計数学セミナー
過去の記録 ～04/19｜次回の予定｜今後の予定 04/20～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2009年05月12日(火)
16:20-17:30 数理科学研究科棟(駒場) 126号室
塩濱 敬之 氏 (東京理科大学, 工学部)
Asymptitically efficient estimation of multiple change points in GARCH types models
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/03.html
塩濱 敬之 氏 (東京理科大学, 工学部)
Asymptitically efficient estimation of multiple change points in GARCH types models
[ 講演概要 ]
Instability of volatility parameters in GARCH models in an important issue for analyzing financial time series. In this paper we investigate the asymptotic theory for multiple change point estimators of GARCH$(p,q)$ models. When the parameters of a GARCH models have changed within an observed realization, two types estimators, Maximum likelihood estimator (MLE) and Bayesian estimator (BE), are proposed. Then we derive the asymptotic distributions for these estimators. The MLE and BE have different limit laws, and the BE is asymptotically efficient. Monte Carlo studies on the finite sample behaviors are conducted. Applications to Nikkei 225 index are discussed.
[ 参考URL ]Instability of volatility parameters in GARCH models in an important issue for analyzing financial time series. In this paper we investigate the asymptotic theory for multiple change point estimators of GARCH$(p,q)$ models. When the parameters of a GARCH models have changed within an observed realization, two types estimators, Maximum likelihood estimator (MLE) and Bayesian estimator (BE), are proposed. Then we derive the asymptotic distributions for these estimators. The MLE and BE have different limit laws, and the BE is asymptotically efficient. Monte Carlo studies on the finite sample behaviors are conducted. Applications to Nikkei 225 index are discussed.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/03.html
