A Functional coefficient GARCH-M model
Speaker:Prof. Yuan Li
School of Mathematics and Information Science
Guangzhou University
Date & Time:17 Jan 2013 (Thursday) 10:30
Venue:U101
Organized by:Department of Mathematics

Abstract

Motivated by the time varying property of the risk aversion and the functional coefficient model, a functional coefficient GARCH-M model is studied. The proposed GARCH-M model considers the volatility coefficient as an unknown smooth function and a new-typed GARCH process is adopted, which is helpful to model estimation. An approach is given to estimate the model and some theoretical results are obtained. Simulations demonstrate that the method performs well. From the empirical studies, it is shown that the proposed model can better fit the considered data compared to the usual parametric models.

Biography

Prof. Yuan Li is a Professor of School of Mathematics and Information Science, Guangzhou University. He has worked in statistics with applications for more than 15 years and managed research teams in several projects such as “Nonparametric test of heteroscedasticity and structural changes ”Project (NSFC 10271033), “ Causality analysis in time series by graphical models” Project (NSFC 10671044). He is currently a team leader in Guangzhou University for Probability and Statistics. Prof. Li is also the current associate director of the Environment and Resource Academy in the Chinese Applied Statistics Society and the associate dean of School of Mathematics and Information Science, Guangzhou University. Prof. Li has published over 30 scientific papers in leading journals from Statistics and Econometrics such as “Biometrika”, “Journal of Time Series Analysis”, “Statistica Sinica”, “Statistics & Probability Letters”, and “Science in China”. He is an active researcher in both Statistics and its applications through conference organization and Editorial responsibility in scientific journal.