Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility
In an endeavor to encapsulate the dual aspects of volatility progression and periodicity inherent in autocorrelation frameworks demonstrated by various nonlinear time series, a novel conceptualization emerges—the periodic threshold autoregressive stochastic volatility (PTAR-SV) model. This model ser...
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| Format: | Article |
| Language: | English |
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AIMS Press
2024-03-01
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| Series: | AIMS Mathematics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2024578?viewType=HTML |
| _version_ | 1797217312337559552 |
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| author | Ahmed Ghezal Omar Alzeley |
| author_facet | Ahmed Ghezal Omar Alzeley |
| author_sort | Ahmed Ghezal |
| collection | DOAJ |
| description | In an endeavor to encapsulate the dual aspects of volatility progression and periodicity inherent in autocorrelation frameworks demonstrated by various nonlinear time series, a novel conceptualization emerges—the periodic threshold autoregressive stochastic volatility (PTAR-SV) model. This model served as a viable alternative to the conventional periodic threshold generalized autoregressive conditional heteroskedasticity (TGARCH) process. The inherent probabilistic framework of the PTAR-SV model incorporated certain essential features, including strict periodic stationarity, enhancing its analytical robustness. Additionally, this study established the conditions for higher-order moments to exist within the PTAR-SV model. The autocovariance structure pertaining to the powers of the PTAR-SV process has been studied. The process of parameter estimation was scrutinized via the quasi-maximum likelihood technique. This estimation approach involved assessing likelihood using prediction error decomposition and Kalman filtering. Moreover, we extended our analysis to include a Bayesian Markov chain Monte Carlo (MCMC) method based on Griddy-Gibbs sampling, particularly suitable when the distribution of model innovations follows a standard Gaussian. Through a simulation study, we evaluated the performances of both the quasi-maximum likelihood (QML) and Bayesian Griddy Gibbs estimates, providing valuable insights into their respective strengths and weaknesses. Finally, we applied our newly developed methodology to model the spot rates of the euro against the Algerian dinar, demonstrating its applicability and efficacy in real-world financial modeling scenarios. |
| first_indexed | 2024-04-24T11:59:51Z |
| format | Article |
| id | doaj.art-853f6c11fb4f4b19aee1e97c23c1517f |
| institution | Directory Open Access Journal |
| issn | 2473-6988 |
| language | English |
| last_indexed | 2024-04-24T11:59:51Z |
| publishDate | 2024-03-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | AIMS Mathematics |
| spelling | doaj.art-853f6c11fb4f4b19aee1e97c23c1517f2024-04-09T01:33:59ZengAIMS PressAIMS Mathematics2473-69882024-03-0195118051183210.3934/math.2024578Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatilityAhmed Ghezal 0Omar Alzeley 11. Department of Mathematics, Abdelhafid Boussouf University Center of Mila, Algeria; Email: a.ghezal@centre-univ-mila.dz2. Department of Mathematics, Umm Al-Qura University, Al-Qunfudah University College, Saudi Arabia; Email: oazeley@uqu.edu.saIn an endeavor to encapsulate the dual aspects of volatility progression and periodicity inherent in autocorrelation frameworks demonstrated by various nonlinear time series, a novel conceptualization emerges—the periodic threshold autoregressive stochastic volatility (PTAR-SV) model. This model served as a viable alternative to the conventional periodic threshold generalized autoregressive conditional heteroskedasticity (TGARCH) process. The inherent probabilistic framework of the PTAR-SV model incorporated certain essential features, including strict periodic stationarity, enhancing its analytical robustness. Additionally, this study established the conditions for higher-order moments to exist within the PTAR-SV model. The autocovariance structure pertaining to the powers of the PTAR-SV process has been studied. The process of parameter estimation was scrutinized via the quasi-maximum likelihood technique. This estimation approach involved assessing likelihood using prediction error decomposition and Kalman filtering. Moreover, we extended our analysis to include a Bayesian Markov chain Monte Carlo (MCMC) method based on Griddy-Gibbs sampling, particularly suitable when the distribution of model innovations follows a standard Gaussian. Through a simulation study, we evaluated the performances of both the quasi-maximum likelihood (QML) and Bayesian Griddy Gibbs estimates, providing valuable insights into their respective strengths and weaknesses. Finally, we applied our newly developed methodology to model the spot rates of the euro against the Algerian dinar, demonstrating its applicability and efficacy in real-world financial modeling scenarios.https://www.aimspress.com/article/doi/10.3934/math.2024578?viewType=HTMLperiodic stochastic volatilityperiodic stationaritythreshold autoregressive modelkalman filterqmlebayesian mcmc estimation |
| spellingShingle | Ahmed Ghezal Omar Alzeley Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility AIMS Mathematics periodic stochastic volatility periodic stationarity threshold autoregressive model kalman filter qmle bayesian mcmc estimation |
| title | Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility |
| title_full | Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility |
| title_fullStr | Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility |
| title_full_unstemmed | Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility |
| title_short | Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility |
| title_sort | probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility |
| topic | periodic stochastic volatility periodic stationarity threshold autoregressive model kalman filter qmle bayesian mcmc estimation |
| url | https://www.aimspress.com/article/doi/10.3934/math.2024578?viewType=HTML |
| work_keys_str_mv | AT ahmedghezal probabilisticpropertiesandestimationmethodsforperiodicthresholdautoregressivestochasticvolatility AT omaralzeley probabilisticpropertiesandestimationmethodsforperiodicthresholdautoregressivestochasticvolatility |