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東海大學統計學系--演講公告- 【學術演講公告】110年12月7日(二)

【學術演講公告】110年12月7日(二)

  • 單位 : 統計學系
  • 分類 : 演講公告
  • 點閱 : 282
  • 日期 : 2021-11-23
時  間:110年12月7日(星期二下午14:10~15:00)
地  點:管理學院新大樓M242
主講人:黃士峰 教授兼理學院院長 (高雄大學 應用數學系)
講  題:A network autoregressive model with GARCH effects and its applications

Abstract
In this study, a network autoregressive model with GARCH effects, denoted by NAR-GARCH, 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.