GARCH Models

Structure, Statistical Inference and Financial Applications

Christian Francq, Jean-Michel Zakoian

• Publisher: Wiley
• Year: 2019
• Print ISBN: 9781119313571
• eBook ISBN: 9781119313489
• Edition: 2
• Topic: Mathematics
• Subtopic: Probability & Statistics
• Index: Mathematics

Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline

This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used.

GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references.

• Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models
• Covers significant developments in the field, especially in multivariate models
• Contains completely renewed chapters with new topics and results
• Handles both theoretical and applied aspects
• Applies to researchers in different fields (time series, econometrics, finance)
• Includes numerous illustrations and applications to real financial series
• Presents a large collection of exercises with corrections
• Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections

GARCH Models, 2 nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Table of contents

• Cover
• Table of Contents
• Preface to the Second Edition
• Preface to the First Edition
• Notation
• 1 Classical Time Series Models and Financial Series
• Part I: Univariate GARCH Models
• Part II: Statistical Inference
• Part III: Extensions and Applications
• Appendix B: Ergodicity, Martingales, Mixing
• Appendix B: Autocorrelation and Partial Autocorrelation
• Appendix C: Markov Chains on Countable State Spaces
• Appendix D: The Kalman Filter
• Appendix E: Solutions to the Exercises
• References
• Index
• End User License Agreement