NONLINEAR DYNAMICS OF DAILY CASH PRICES

被引：40

作者：

YANG, SR ^{[1
]}

BRORSEN, BW ^{[1
]}

机构：

[1] OKLAHOMA STATE UNIV,STILLWATER,OK 74078

来源：

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 1992年 / 74卷 / 03期

关键词：

CONDITIONAL HETEROSKEDASTICITY; DETERMINISTIC CHAOS; DIFFUSION-JUMP; LEPTOKURTOSIS; MARKET ANOMALIES; SKEWNESS;

D O I：

10.2307/1242584

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

Daily cash price changes are not normally distributed. Their empirical distributions have fat tails and most are skewed. In addition, they are not independent. Among the diffusion-jump, extended generalized autoregressive conditional heteroskedasticity (GARCH), and deterministic chaos processes, a GARCH process with residuals following a student distribution is the most likely. Our GARCH model reduces leptokurtosis, removes nonlinear dependence, and provides a considerable improvement over the i.i.d. normal model. The GARCH process is not well calibrated because it cannot explain all the observed nonnormality, but it does yield asymptotically valid hypothesis tests.

引用

页码：706 / 715

页数：10

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