| 1. |
- Biganda, Pitos, 1981-, et al.
(författare)
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Modeling exchange rate volatility using APARCH models
- 2018
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Ingår i: Journal of the Institute of Engineering. - : Nepal Journals Online (JOL). - 1810-3383. ; 14:1, s. 96-106
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Tidskriftsartikel (refereegranskat)abstract
- ARCH (Autoregressive Conditional Heteroskedacity) and GARCH (Generalized Autoregressive Conditional Heteroskedacity) models have been used in forecasting fluctuations in exchange rates, commodities and securities and are appropriate for modeling time series in which there is non-constant variance, and in which the variance at one time period is dependent on the variance at a previous time period. In our paper we deal with APARCH models (Arithmetic Power Autoregressive Conditional Heteroskedasticity) in order to fit into a data series with asymmetric characteristics. We use Kenyan, Tanzanian and Mozambican data and perform the time series analysis and obtain a model that characterize the data set under consideration. Journal of the Institute of Engineering, 2018, 14(1): 96-106
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| 2. |
- Lundengård, Karl, 1987-, et al.
(författare)
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Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases
- 2017
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Ingår i: AIP Conference Proceedings. - : American Institute of Physics (AIP). - 0094-243X. - 9780735414648 ; , s. 020094-1-020094-7
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Konferensbidrag (refereegranskat)abstract
- In order to describe and analyze the quantitative behavior of stochastic processes, such as the process followed by a financial asset, various discretization methods are used. One such set of methods are lattice models where a time interval is divided into equal time steps and the rate of change for the process is restricted to a particular set of values in each time step. The well-known binomial- and trinomial models are the most commonly used in applications, although several kinds of higher order models have also been examined. Here we will examine various ways of designing higher order lattice schemes with different node placements in order to guarantee moment-matching with the process.
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