Time-varying NoVaS vs. GARCH: robustness against structural breaks in financial returns

Abstract

Consider financial returns data Y 1 ,. .. , Y n satisfying EY t = 0 for all t. The NoVaS transformation of Politis (2007) is defined as W t,a = Y t αs 2 t−1 + a 0 Y 2 t + p i=1 a i Y 2 t−i for t = p + 1, p + 2,. .. , n (1) where s 2 t−1 = (t − 1) −1 t−1 k=1 Y 2 k , and the coefficients α, a 0 , a 1 ,. .. , a p (and the order p) are selected such that the… (More)

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Cite this paper

@inproceedings{PolitisTimevaryingNV, title={Time-varying NoVaS vs. GARCH: robustness against structural breaks in financial returns}, author={Dimitris Nicolas Politis} }