Document Type

Other

Publisher

Edith Cowan University

Place of Publication

Perth, Western Australia

School

School of Accounting, Finance and Economics

Comments

Peiris, S., Bhar, R., & Allen, D. (2006). Analysis and applications of autoregressive moving average models with stochastic variance. Perth, Australia: Edith Cowan University.

Abstract

It is known that volatility plays a central role in financial modelling problems. This paper studies, in detail, a class of discrete time stochastic volatility (SV) models driven by ARMA models with innovations having a stochastic variances. The auto- correlation function of this class of models is derived and methods of identification of such processes are described. An example is added to illustrate the development of the theory over the standard methods.

 
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