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Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model/ by Oliver Old.
Author:	Old, Oliver.
Description:	XXII, 237 p. 57 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Business information services. -
Online resource:	https://doi.org/10.1007/978-3-658-38618-4
ISBN:	9783658386184

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Old, Oliver.

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model[electronic resource] /by Oliver Old. - 1st ed. 2022. - XXII, 237 p. 57 illus. in color.online resource. - Gabler Theses,2731-3239. - Gabler Theses,.

Introduction -- Financial time series -- Smoothing long term volatility -- 4 Free-knot spline-GARCH model -- Simulation study -- Empirical study -- Conclusion.

The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index. About the author: The dissertation was written at the Chair of Applied Statistics and Methods of Empirical Social Research at the Faculty of Economics and Business Administration of the FernUniversität in Hagen. From 2021 Oliver Old researched in the field of applied statistics, machine learning and data science at two EU-Horizon projects at the Department of Anesthesiology, Intensive Care and Pain Therapy at the University Hospital Frankfurt.

ISBN: 9783658386184

Standard No.: 10.1007/978-3-658-38618-4doiSubjects--Topical Terms:

654161
Business information services.

LC Class. No.: HF54.5-54.56

Dewey Class. No.: 658.05

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
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