| Presentation | 2005-06-23 Estimation of GARCH-Type Time Series Models using Monte Carlo Filter and the Genetic Programming and its Applications Yoshikazu IKEDA, Shozo TOKINAGA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Among various nonlinear model fitting methods, ARCH and GARCH are developed to describe the model for the volatility. However, conventional GARCH type models usually postulate fixed functtional form included in models, and it is not clear the fitted model is the best one. In this report, we propose the estimation of GARCH-Type models with Markov switching using Monte Carlo filter and the Genetic Programming (GP). The functional forms of dynamics are estimated by using the GP, and the states are estimated based on the Monte Carlo filters. The method is applied to the estiamtion of GARCH models for known systems, and then applied to real world data. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Genetic Programming / GARCH / monte carlo filter |
| Paper # | NLP2005-18 |
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| Committee | NLP |
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| Conference Date | 2005/6/16(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Estimation of GARCH-Type Time Series Models using Monte Carlo Filter and the Genetic Programming and its Applications |
| Sub Title (in English) | |
| Keyword(1) | Genetic Programming |
| Keyword(2) | GARCH |
| Keyword(3) | monte carlo filter |
| 1st Author's Name | Yoshikazu IKEDA |
| 1st Author's Affiliation | Faculty of Economics, Shinshu University() |
| 2nd Author's Name | Shozo TOKINAGA |
| 2nd Author's Affiliation | Graduate School of Economics, Kyushu University |
| Date | 2005-06-23 |
| Paper # | NLP2005-18 |
| Volume (vol) | vol.105 |
| Number (no) | 125 |
| Page | pp.pp.- |
| #Pages | 6 |
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