𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Control charts for GARCH processes

✍ Scribed by S. Schipper; W. Schmid

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
509 KB
Volume
47
Category
Article
ISSN
0362-546X

No coin nor oath required. For personal study only.

✦ Synopsis

In this paper simultaneous exponentially weighted moving average schemes for the mean and the variance of a financial time series are introduced. The target process is assumed to be a GARCH process. It is proved that in some cases the bivariate approach leads to a smaller out-of-control average run length. In an extensive simulation study the control schemes are compared with each other. The control charts are applied to the returns of stocks. The information about deviations from the target process can be used to construct a trading strategy based on options.

πŸ“œ SIMILAR VOLUMES

Asymptotic theory for multivariate GARCH
Asymptotic theory for multivariate GARCH processes
✍ F. Comte; O. Lieberman πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 272 KB

We provide in this paper asymptotic theory for the multivariate GARCHðp; qÞ process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given by Jeantheau (Econometric Theory 14 (1998), 70) in conjunction with a result given by Boussama (Ergo

Control charts: a cost-optimization appr
Control charts: a cost-optimization approach for processes with random shifts
✍ AndrΓ‘s ZemplΓ©ni; MiklΓ³s VΓ©ber; Belmiro Duarte; Pedro Saraiva πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 160 KB πŸ‘ 2 views

## Abstract In this paper we describe an approach for establishing control limits and sampling times which derives from economic performance criteria and a model for random shifts. The total cost related to both production and control is calculated, based on cost estimates for false alarms, for not