{"title":"logGARCH 随机波动率模型","authors":"Hafida Guerbyenne , Fayçal Hamdi , Malika Hamrat","doi":"10.1016/j.spl.2024.110185","DOIUrl":null,"url":null,"abstract":"<div><p>This article introduces a new class of stochastic volatility models called <span><math><mrow><mo>log</mo><mi>G</mi><mi>A</mi><mi>R</mi><mi>C</mi><mi>H</mi></mrow></math></span> Stochastic Volatility models (<span><math><mrow><mo>log</mo><mi>G</mi><mi>A</mi><mi>R</mi><mi>C</mi><mi>H</mi></mrow></math></span>-<span><math><mrow><mi>S</mi><mi>V</mi></mrow></math></span>). We establish the strict stationarity and second-order stationarity properties of this model class. Additionally, we provide conditions for the existence of higher-order moments. To estimate the parameters of the proposed model, we utilize a sequential Monte Carlo method. Finally, we assess the performance of the suggested estimation method through a simulation study.</p></div>","PeriodicalId":49475,"journal":{"name":"Statistics & Probability Letters","volume":"214 ","pages":"Article 110185"},"PeriodicalIF":0.7000,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The logGARCH stochastic volatility model\",\"authors\":\"Hafida Guerbyenne , Fayçal Hamdi , Malika Hamrat\",\"doi\":\"10.1016/j.spl.2024.110185\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This article introduces a new class of stochastic volatility models called <span><math><mrow><mo>log</mo><mi>G</mi><mi>A</mi><mi>R</mi><mi>C</mi><mi>H</mi></mrow></math></span> Stochastic Volatility models (<span><math><mrow><mo>log</mo><mi>G</mi><mi>A</mi><mi>R</mi><mi>C</mi><mi>H</mi></mrow></math></span>-<span><math><mrow><mi>S</mi><mi>V</mi></mrow></math></span>). We establish the strict stationarity and second-order stationarity properties of this model class. Additionally, we provide conditions for the existence of higher-order moments. To estimate the parameters of the proposed model, we utilize a sequential Monte Carlo method. Finally, we assess the performance of the suggested estimation method through a simulation study.</p></div>\",\"PeriodicalId\":49475,\"journal\":{\"name\":\"Statistics & Probability Letters\",\"volume\":\"214 \",\"pages\":\"Article 110185\"},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2024-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistics & Probability Letters\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0167715224001548\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"2024/6/22 0:00:00\",\"PubModel\":\"Epub\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistics & Probability Letters","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167715224001548","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2024/6/22 0:00:00","PubModel":"Epub","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
This article introduces a new class of stochastic volatility models called Stochastic Volatility models (-). We establish the strict stationarity and second-order stationarity properties of this model class. Additionally, we provide conditions for the existence of higher-order moments. To estimate the parameters of the proposed model, we utilize a sequential Monte Carlo method. Finally, we assess the performance of the suggested estimation method through a simulation study.
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Statistics & Probability Letters adopts a novel and highly innovative approach to the publication of research findings in statistics and probability. It features concise articles, rapid publication and broad coverage of the statistics and probability literature.
Statistics & Probability Letters is a refereed journal. Articles will be limited to six journal pages (13 double-space typed pages) including references and figures. Apart from the six-page limitation, originality, quality and clarity will be the criteria for choosing the material to be published in Statistics & Probability Letters. Every attempt will be made to provide the first review of a submitted manuscript within three months of submission.
The proliferation of literature and long publication delays have made it difficult for researchers and practitioners to keep up with new developments outside of, or even within, their specialization. The aim of Statistics & Probability Letters is to help to alleviate this problem. Concise communications (letters) allow readers to quickly and easily digest large amounts of material and to stay up-to-date with developments in all areas of statistics and probability.
The mainstream of Letters will focus on new statistical methods, theoretical results, and innovative applications of statistics and probability to other scientific disciplines. Key results and central ideas must be presented in a clear and concise manner. These results may be part of a larger study that the author will submit at a later time as a full length paper to SPL or to another journal. Theory and methodology may be published with proofs omitted, or only sketched, but only if sufficient support material is provided so that the findings can be verified. Empirical and computational results that are of significant value will be published.
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