Journal article
Local scale models: state space alternative to integrated GARCH processes
- Abstract:
-
State space alternative to autoregressive conditional heteroskedasticity models are proposed. The initial model, which is labelled the Gaussian local scale model, has a measurement density which is Gaussian, conditional on the unobservable precision. The precision is assumed to be a gamma variable which evolves by being scaled by a beta variable. The resulting forecast is a student's t random variable, with a scale which is approximately an exponentially weighted moving average (EWMA) of the ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Funding
+ Economic and Social Research Council
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Funding agency for:
Shephard, N
Grant:
R000233574
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Journal of Econometrics Journal website
- Volume:
- 60
- Issue:
- 1-2
- Pages:
- 181-202
- Publication date:
- 1994-01-01
- DOI:
- ISSN:
-
0304-4076
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:e4aff159-f6b0-41a9-973b-8da5596c9e5e
- Local pid:
- ora:2280
- Deposit date:
- 2008-09-04
Related Items
Terms of use
- Copyright holder:
- Elsevier Science BV
- Copyright date:
- 1994
- Notes:
- The full-text of this article is not currently available in ORA. Citation: Shephard, N. (1994). 'Local scale models: state space alternative to integrated GARCH processes', Journal of Econometrics, 60(1-2), 181-202. [Available at http://www.sciencedirect.com/science/journal/03044076].
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