Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH

Detalhes bibliográficos
Ano de defesa: 2019
Autor(a) principal: Xavier, Cleber Martins
Orientador(a): Ehlers, Ricardo Sandes lattes
Banca de defesa: Não Informado pela instituição
Tipo de documento: Tese
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Federal de São Carlos
Câmpus São Carlos
Programa de Pós-Graduação: Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Volatilidade
Modelos GARCH
MCMC
Monte Carlo Hamiltoniano
Palavras-chave em Inglês:
Volatility
GARCH models
Hamiltonian Monte Carlo
Área do conhecimento CNPq:
CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA::ESTATISTICA::INFERENCIA PARAMETRICA
Link de acesso: https://repositorio.ufscar.br/handle/20.500.14289/11516
Resumo: One of the most important informations in financial market is variability of an asset. Several models have been proposed in literature with a view of to evaluate this phenomenon. Among them we have the GARCH models. This paper use Hamiltonian Monte Carlo (HMC) methods for estimation of parameters univariate and multivariate GARCH models. Simulation studies are performed and the estimatives compared with Metropolis-Hastings methods of the BayesDcc- Garch package. Also, we compared the results of HMC method with the methodology present in rstan package. Finally, a application with real data is performed using bivariate DCC-GARCH and the methods of estimation HMC and Metropolis-Hastings.
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spelling Xavier, Cleber MartinsEhlers, Ricardo Sandeshttp://lattes.cnpq.br/4020997206928882Andrade Filho, Marinho Gomes dehttp://lattes.cnpq.br/4126245980112687http://lattes.cnpq.br/48133749241577016dabe2e6-4eff-49c7-81a4-2e2995c704482019-07-17T13:55:27Z2019-07-17T13:55:27Z2019-04-26XAVIER, Cleber Martins. Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH. 2019. Tese (Doutorado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2019. Disponível em: https://repositorio.ufscar.br/handle/20.500.14289/11516.https://repositorio.ufscar.br/handle/20.500.14289/11516One of the most important informations in financial market is variability of an asset. Several models have been proposed in literature with a view of to evaluate this phenomenon. Among them we have the GARCH models. This paper use Hamiltonian Monte Carlo (HMC) methods for estimation of parameters univariate and multivariate GARCH models. Simulation studies are performed and the estimatives compared with Metropolis-Hastings methods of the BayesDcc- Garch package. Also, we compared the results of HMC method with the methodology present in rstan package. Finally, a application with real data is performed using bivariate DCC-GARCH and the methods of estimation HMC and Metropolis-Hastings.Uma das informações mais importantes no mercado financeiro é a variabilidade de um ativo. Diversos modelos foram propostos na literatura com o intuito de avaliar este fenômeno. Dentre eles podemos destacar os modelos GARCH. Este trabalho propõe o uso do método Monte Carlo Hamiltoniano (HMC) para a estimação dos parâmetros do modelo GARCH univariado e multivariado. Estudos de simulação são realizados e as estimativas comparadas com o método de estimação Metropolis-Hastings presente no pacote BayesDccGarch. Além disso, compara-se os resultados do método HMC com a metodologia adotada no pacote rstan. Por fim, é realizado uma aplicação a dados reais utilizando o DCC-GARCH bivariado e os métodos de estimação HMC e Metropolis-Hastings.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)CAPES: Código de Financiamento 001porUniversidade Federal de São CarlosCâmpus São CarlosPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsUFSCarVolatilidadeModelos GARCHMCMCMonte Carlo HamiltonianoVolatilityGARCH modelsHamiltonian Monte CarloCIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA::ESTATISTICA::INFERENCIA PARAMETRICAMétodos de Monte Carlo Hamiltoniano aplicados em modelos GARCHHamiltonian Monte Carlo methods in GARCH modelsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisOnline6006003dbdbf82-45a6-4e75-b0c2-99c510672c97info:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFSCARinstname:Universidade Federal de São Carlos (UFSCAR)instacron:UFSCARORIGINALthesis-CleberXavierVersaoFinal.pdfthesis-CleberXavierVersaoFinal.pdfapplication/pdf16848152https://repositorio.ufscar.br/bitstreams/3ed66c61-2bdd-480e-9358-8e4eb27242a5/download0718a773f3815f5cabd7c08730c5c34dMD51trueAnonymousREADLICENSElicense.txtlicense.txttext/plain; charset=utf-81957https://repositorio.ufscar.br/bitstreams/e28d4234-4580-452c-b733-8a342b138044/downloadae0398b6f8b235e40ad82cba6c50031dMD54falseAnonymousREADTEXTthesis-CleberXavierVersaoFinal.pdf.txtthesis-CleberXavierVersaoFinal.pdf.txtExtracted texttext/plain139639https://repositorio.ufscar.br/bitstreams/9d4de5bb-f843-4f2c-9374-b62a15ff6f5b/download38123b1ecd7d8c69c2bab2383c12097bMD57falseAnonymousREADTHUMBNAILthesis-CleberXavierVersaoFinal.pdf.jpgthesis-CleberXavierVersaoFinal.pdf.jpgIM Thumbnailimage/jpeg15024https://repositorio.ufscar.br/bitstreams/438686c3-d563-4c89-b550-5608a591e8b6/download0a55c6a3611204a6e6e573162d562c66MD58falseAnonymousREAD20.500.14289/115162025-02-05 19:16:50.038Acesso abertoopen.accessoai:repositorio.ufscar.br:20.500.14289/11516https://repositorio.ufscar.brRepositório InstitucionalPUBhttps://repositorio.ufscar.br/oai/requestrepositorio.sibi@ufscar.bropendoar:43222025-02-05T22:16:50Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR)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
dc.title.por.fl_str_mv Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
dc.title.alternative.eng.fl_str_mv Hamiltonian Monte Carlo methods in GARCH models
title Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
spellingShingle Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
Xavier, Cleber Martins
Volatilidade
Modelos GARCH
MCMC
Monte Carlo Hamiltoniano
Volatility
GARCH models
Hamiltonian Monte Carlo
CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA::ESTATISTICA::INFERENCIA PARAMETRICA
title_short Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
title_full Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
title_fullStr Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
title_full_unstemmed Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
title_sort Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH
author Xavier, Cleber Martins
author_facet Xavier, Cleber Martins
author_role author
dc.contributor.authorlattes.por.fl_str_mv http://lattes.cnpq.br/4813374924157701
dc.contributor.author.fl_str_mv Xavier, Cleber Martins
dc.contributor.advisor1.fl_str_mv Ehlers, Ricardo Sandes
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/4020997206928882
dc.contributor.advisor-co1.fl_str_mv Andrade Filho, Marinho Gomes de
dc.contributor.advisor-co1Lattes.fl_str_mv http://lattes.cnpq.br/4126245980112687
dc.contributor.authorID.fl_str_mv 6dabe2e6-4eff-49c7-81a4-2e2995c70448
contributor_str_mv Ehlers, Ricardo Sandes
Andrade Filho, Marinho Gomes de
dc.subject.por.fl_str_mv Volatilidade
Modelos GARCH
MCMC
Monte Carlo Hamiltoniano
topic Volatilidade
Modelos GARCH
MCMC
Monte Carlo Hamiltoniano
Volatility
GARCH models
Hamiltonian Monte Carlo
CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA::ESTATISTICA::INFERENCIA PARAMETRICA
dc.subject.eng.fl_str_mv Volatility
GARCH models
Hamiltonian Monte Carlo
dc.subject.cnpq.fl_str_mv CIENCIAS EXATAS E DA TERRA::PROBABILIDADE E ESTATISTICA::ESTATISTICA::INFERENCIA PARAMETRICA
description One of the most important informations in financial market is variability of an asset. Several models have been proposed in literature with a view of to evaluate this phenomenon. Among them we have the GARCH models. This paper use Hamiltonian Monte Carlo (HMC) methods for estimation of parameters univariate and multivariate GARCH models. Simulation studies are performed and the estimatives compared with Metropolis-Hastings methods of the BayesDcc- Garch package. Also, we compared the results of HMC method with the methodology present in rstan package. Finally, a application with real data is performed using bivariate DCC-GARCH and the methods of estimation HMC and Metropolis-Hastings.
publishDate 2019
dc.date.accessioned.fl_str_mv 2019-07-17T13:55:27Z
dc.date.available.fl_str_mv 2019-07-17T13:55:27Z
dc.date.issued.fl_str_mv 2019-04-26
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv XAVIER, Cleber Martins. Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH. 2019. Tese (Doutorado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2019. Disponível em: https://repositorio.ufscar.br/handle/20.500.14289/11516.
dc.identifier.uri.fl_str_mv https://repositorio.ufscar.br/handle/20.500.14289/11516
identifier_str_mv XAVIER, Cleber Martins. Métodos de Monte Carlo Hamiltoniano aplicados em modelos GARCH. 2019. Tese (Doutorado em Estatística) – Universidade Federal de São Carlos, São Carlos, 2019. Disponível em: https://repositorio.ufscar.br/handle/20.500.14289/11516.
url https://repositorio.ufscar.br/handle/20.500.14289/11516
dc.language.iso.fl_str_mv por
language por
dc.relation.confidence.fl_str_mv 600
600
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dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal de São Carlos
Câmpus São Carlos
dc.publisher.program.fl_str_mv Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs
dc.publisher.initials.fl_str_mv UFSCar
publisher.none.fl_str_mv Universidade Federal de São Carlos
Câmpus São Carlos
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFSCAR
instname:Universidade Federal de São Carlos (UFSCAR)
instacron:UFSCAR
instname_str Universidade Federal de São Carlos (UFSCAR)
instacron_str UFSCAR
institution UFSCAR
reponame_str Repositório Institucional da UFSCAR
collection Repositório Institucional da UFSCAR
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