Title :
The application review of GARCH model
Author :
Xu, Jie ; Zhang, Zhigang ; Zhao, Lutao ; Ai, Dongmei
Author_Institution :
Sch. of Math. & Phys., Univ. of Sci. & Technol. Beijing, Beijing, China
Abstract :
There are some volatility clustering in the time series, especially in the financial time series, from the proposition of ARCH model to the later development and reproduction, it has resolved many such problems in a lot of fields extensive involves: funds, stock prices, futures, crude oil prices, GDP, foreign exchange administration in bank, inflation rate, foreign exchange rate, etc. This paper mainly introduces the huge development system of GARCH family and reviews their applications.
Keywords :
banking; exchange rates; pricing; time series; GARCH model; GDP; bank; crude oil prices; financial time series; foreign exchange administration; foreign exchange rate; funds; inflation rate; stock prices; volatility clustering; Analytical models; Econometrics; Economic indicators; Mathematical model; Predictive models; Stock markets; Time series analysis; CARCH; GARCH; IGARCH; TGARCH;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6002504
