STOCHASTIC VOLATILITY MODELS FOR FINANCIAL TIME SERIES ANALYSIS

Felicia Ramona Birău ()
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Felicia Ramona Birău: UNIVERSITY OF CRAIOVA, FACULTY OF ECONOMICS AND BUSINES ADMINISTRATION

Anale. Seria Stiinte Economice. Timisoara, 2012, vol. XVIII/Supplement, 472-475

Abstract: This article highlights a comprehensive and approachable perspective to stochastic volatility models for financial time series analysis. Financial time series represent a distinctive category in the economic field, with highly dynamic characteristics, especially in times of financial crisis. Beyond its highly empirical behavior, modeling volatility of financial asset returns aims to improve forecast accuracy. The stochastic volatility models analyzed in this article include the autoregressive conditional heteroscedastic model (ARCH), the generalized autoregressive conditional heteroscedastic (GARCH) model and the exponential generalized autoregressive conditional heteroscedastic (EGARCH) model.

Keywords: stochastic volatility class of models; high-frequency data; stationary time series; autoregressive conditional heteroscedastic model; financial asset returns (search for similar items in EconPapers)
JEL-codes: C22 G11 G14 (search for similar items in EconPapers)
Date: 2012
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