{"title":"混合周期GARCH模型:在汇率建模中的应用","authors":"F. Hamdi, Saïd Souam","doi":"10.1109/ICMSAO.2013.6552570","DOIUrl":null,"url":null,"abstract":"In this paper, we propose an extension of a mixture periodic ARCH model (MPARCH) to a mixture periodic GARCH model (MPGARCH), and provide some probabilistic properties of this class of models. An estimation method based on the Expectation-Maximization (EM) algorithm is proposed. Finally, it is applied to model the spot rates of the Algerian Dinar against the U.S.-Dollar and Euro. The empirical analysis demonstrates that the proposed mixture model yields the best performance among the competing models.","PeriodicalId":339666,"journal":{"name":"2013 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO)","volume":"44 5-6","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"10","resultStr":"{\"title\":\"Mixture periodic GARCH models: Applications to exchange rate modeling\",\"authors\":\"F. Hamdi, Saïd Souam\",\"doi\":\"10.1109/ICMSAO.2013.6552570\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we propose an extension of a mixture periodic ARCH model (MPARCH) to a mixture periodic GARCH model (MPGARCH), and provide some probabilistic properties of this class of models. An estimation method based on the Expectation-Maximization (EM) algorithm is proposed. Finally, it is applied to model the spot rates of the Algerian Dinar against the U.S.-Dollar and Euro. The empirical analysis demonstrates that the proposed mixture model yields the best performance among the competing models.\",\"PeriodicalId\":339666,\"journal\":{\"name\":\"2013 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO)\",\"volume\":\"44 5-6\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-07-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"10\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2013 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICMSAO.2013.6552570\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2013 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICMSAO.2013.6552570","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Mixture periodic GARCH models: Applications to exchange rate modeling
In this paper, we propose an extension of a mixture periodic ARCH model (MPARCH) to a mixture periodic GARCH model (MPGARCH), and provide some probabilistic properties of this class of models. An estimation method based on the Expectation-Maximization (EM) algorithm is proposed. Finally, it is applied to model the spot rates of the Algerian Dinar against the U.S.-Dollar and Euro. The empirical analysis demonstrates that the proposed mixture model yields the best performance among the competing models.
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