Application of the Improved Generalized Autoregressive Conditional Heteroskedast Model Based on the Autoregressive Integrated Moving Average Model in Data Analysis

• 作者: Qi Yang Yishu Wang
• 来源期刊: 统计学期刊(英文)
• 学科: 经济
• 关键词: Forecasting OUTLIERS IMPROVED GARCH MODEL Partial T-APARCH MODEL Based on ARIMA MODEL
• 年，卷（期）: 2019,（5）
• 页码范围: 543-554
• 页数: 12页
• 分类号: F42

摘要

This study firstly improved the Generalized Autoregressive Conditional Heteroskedast model for the issue that financial product sales data have singular information when applying this model, and the improved outlier detection method was used to detect the location of outliers, which were processed by the iterative method. Secondly, in order to describe the peak and fat tail of the financial time series, as well as the leverage effect, this work used the skewed-t Asymmetric Power Autoregressive Conditional Heteroskedasticity model based on the Autoregressive Integrated Moving Average Model to analyze the sales data. Empirical analysis showed that the model considering the skewed distribution is effective.