A network autoregressive model with GARCH effects and its applications

Shih Feng Huang*, Hsin Han Chiang, Yu Jun Lin

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

In this study, a network autoregressive model with GARCH effects, denoted by NARGARCH, is proposed to depict the return dynamics of stock market indices. A GARCH filter is employed to marginally remove the GARCH effects of each index, and the NAR model with the Granger causality test and Pearson's correlation test with sharp price movements is used to capture the joint effects caused by other indices with the most updated market information. The NAR-GARCH model is designed to depict the joint effects of nonsynchronous multiple time series in an easy-to-implement and effective way. The returns of 20 global stock indices from 2006 to 2020 are employed for our empirical investigation. The numerical results reveal that the NAR-GARCH model has satisfactory performance in both fitting and prediction for the 20 stock indices, especially when a market index has strong upward or downward movements.

原文英語
文章編號e0255422
期刊PloS one
16
發行號7 July
DOIs
出版狀態已發佈 - 2021 7月
對外發佈

ASJC Scopus subject areas

  • 多學科

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