Journal of Applied Statistics ( IF 1.5 ) Pub Date : 2021-05-18 , DOI: 10.1080/02664763.2021.1928019 Aastha M Sathe 1 , N S Upadhye 1
In this article, we first propose the modified Hannan–Rissanen Method for estimating the parameters of autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise. Next, we propose the modified empirical characteristic function method for the estimation of GARCH parameters with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods with Monte-Carlo simulation. Finally, we apply our proposed methods to model the financial data.
中文翻译:
对称稳定 ARMA 和 ARMA-GARCH 模型的参数估计
在本文中,我们首先提出了改进的 Hannan-Rissanen 方法,用于估计具有对称稳定噪声和对称稳定广义自回归条件异方差 (GARCH) 噪声的自回归移动平均 (ARMA) 过程的参数。接下来,我们提出了改进的经验特征函数方法,用于估计具有对称稳定噪声的 GARCH 参数。此外,我们通过蒙特卡罗模拟展示了我们的方法的效率、准确性和简单性。最后,我们应用我们提出的方法对财务数据进行建模。