Title :
Minkowski Metric for GARCH (1,1)
Author :
Kanjamapornkul, Kabin ; Kijsirikul, Boonserm ; Mathew, Jimson
Author_Institution :
Dept. of Comput. Eng., Chulalongkorn Univ., Bangkok, Thailand
Abstract :
In this paper we discuss a stylized fact on long memory process of volatility cluster phenomena by using Minkowski metric for GARCH (1,1). Also presented result of minus sign of volatility in reversed direction of time scale. It is named as dark volatility or hidden risk fear field.
Keywords :
autoregressive processes; macroeconomics; time series; GARCH (1,1) model; Minkowski metric; dark volatility; hidden risk fear field; time scale reverse direction; volatility cluster phenomenon; Jacobian matrices; Manifolds; Mathematical model; Measurement; Tensile stress; Time series analysis; Transforms; 1); Dark Volatility; GARCH (1; Hyperbolic Coordinate; Minkowski Distribution; Minkowski Metric;
Conference_Titel :
Eco-friendly Computing and Communication Systems (ICECCS), 2014 3rd International Conference on
Print_ISBN :
978-1-4799-7003-2
DOI :
10.1109/Eco-friendly.2014.67
