A dynamic Markov regime-switching GARCH model and its cumulative impulse response function

2018 ◽  
Vol 139 ◽  
pp. 20-30 ◽  
Author(s):  
Yujin Kim ◽  
Eunju Hwang
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Regime Switching ◽  
Impulse Response Function ◽  
Garch Model ◽  
Markov Regime Switching

scholarly journals A dynamic markov regime-switching asymmetric GARCH model and its cumulative impulse response function

2021 ◽  
Vol 16 (1) ◽  
pp. 2537-2559
Author(s):  
Gado SEMA ◽  
Mamadou Abdoulaye Konté ◽  
Abdou Kâ Diongue
Keyword(s):  
Impulse Response ◽  
Financial Market ◽  
Regime Switching ◽  
Impulse Response Function ◽  
Garch Model ◽  
Market Volatility ◽  
Markov Regime Switching ◽  
Proposed Model ◽  
Asymmetric Garch ◽  
Better Than

In this paper, we consider the Markov regime-switching GJR-GARCH(1,1) model to capture both the cumulative impulse response and the asymmetry of the dynamic behavior of financial market volatility in stationary and explosive states. The model can capture regime shifts in volatility between two regimes as well as the asymmetric response to negative and positive shocks. A Monte Carlo simulation is conducted to validate the main theory and find that the regime-switching GJR-GARCH model performs better than the standard GJR-GARCH model. Applications to Brazilian stock market data show that the proposed model performs well in terms of cumulative impulse response.

Fractional Vector-Order h-Realisation of the Impulse Response Function

2020 ◽  
Vol 14 (2) ◽  
pp. 108-113
Author(s):  
Ewa Pawłuszewicz
Keyword(s):  
Control Systems ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Linear Control ◽  
Linear Control Systems

AbstractThe problem of realisation of linear control systems with the h–difference of Caputo-, Riemann–Liouville- and Grünwald–Letnikov-type fractional vector-order operators is studied. The problem of existing minimal realisation is discussed.

scholarly journals Convolution-based time-domain simulation for fluidelastic instability in tube arrays

2021 ◽  
Author(s):  
Mingjie Zhang ◽  
Ole Øiseth
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Time Domain ◽  
Impulse Response Function ◽  
Time Domain Simulation ◽  
Unit Step ◽  
Tube Arrays ◽  
Unit Impulse ◽  
The Time Domain ◽  
Unit Impulse Response

AbstractA convolution-based numerical algorithm is presented for the time-domain analysis of fluidelastic instability in tube arrays, emphasizing in detail some key numerical issues involved in the time-domain simulation. The unit-step and unit-impulse response functions, as two elementary building blocks for the time-domain analysis, are interpreted systematically. An amplitude-dependent unit-step or unit-impulse response function is introduced to capture the main features of the nonlinear fluidelastic (FE) forces. Connections of these elementary functions with conventional frequency-domain unsteady FE force coefficients are discussed to facilitate the identification of model parameters. Due to the lack of a reliable method to directly identify the unit-step or unit-impulse response function, the response function is indirectly identified based on the unsteady FE force coefficients. However, the transient feature captured by the indirectly identified response function may not be consistent with the physical fluid-memory effects. A recursive function is derived for FE force simulation to reduce the computational cost of the convolution operation. Numerical examples of two tube arrays, containing both a single flexible tube and multiple flexible tubes, are provided to validate the fidelity of the time-domain simulation. It is proven that the present time-domain simulation can achieve the same level of accuracy as the frequency-domain simulation based on the unsteady FE force coefficients. The convolution-based time-domain simulation can be used to more accurately evaluate the integrity of tube arrays by considering various nonlinear effects and non-uniform flow conditions. However, the indirectly identified unit-step or unit-impulse response function may fail to capture the underlying discontinuity in the stability curve due to the prespecified expression for fluid-memory effects.

IMPROVING EXTRACTION OF IMPULSE RESPONSE FUNCTIONS USING STATIONARY WAVELET SHRINKAGE IN TERAHERTZ REFLECTION IMAGING

2010 ◽  
Vol 09 (04) ◽  
pp. 387-394 ◽  
Author(s):  
YANG CHEN ◽  
YIWEN SUN ◽  
EMMA PICKWELL-MACPHERSON
Keyword(s):  
Experimental Data ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Terahertz Imaging ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Inverse Filtering ◽  
Wavelet Shrinkage ◽  
Gaussian Filtering

In terahertz imaging, deconvolution is often performed to extract the impulse response function of the sample of interest. The inverse filtering process amplifies the noise and in this paper we investigate how we can suppress the noise without over-smoothing and losing useful information. We propose a robust deconvolution process utilizing stationary wavelet shrinkage theory which shows significant improvement over other popular methods such as double Gaussian filtering. We demonstrate the success of our approach on experimental data of water and isopropanol.

Interest Rate–Economic Growth Nexus Under Currency Board Operations

2021 ◽  
Vol 8 (1) ◽  
pp. 13-24
Author(s):  
Martinianus Tshimologo Tibinyane ◽  
Teresia Kaulihowa
Keyword(s):  
Economic Growth ◽  
Interest Rate ◽  
Impulse Response ◽  
Response Function ◽  
Open Economy ◽  
Small Open Economy ◽  
Impulse Response Function ◽  
Policy Instrument ◽  
Variance Decomposition ◽  
Currency Board

This paper analyses the effect of the prime interest rate as a monetary policy instrument to stimulate economic growth in Namibia, a small open economy that is constrained by currency board operations. A Vector Autoregressive Model (VAR) was used for the period 1980–2019. The result shows that Namibia’s prime interest rate has no significant effect on economic growth. This finding remains robust and consistent when impulse response function and variance decomposition are employed. The impulse response function indicates a shock on the prime interest rate exhibits an inverse relationship. However, this effect is insignificant in both short and long-run scenarios. The variance decomposition indicates that the prime interest rate has a strongly exogenous impact, implying it has a weak influence on GDP growth. Policy implication indicates that small open economies under currency board operations need to identify different policy responses to circumvent external shocks and addresses their development needs.

Image quality characterization of fine resolution RISAT-1 data using impulse response function

2018 ◽  
Vol 34 (6) ◽  
pp. 586-596
Author(s):  
Gautam Dadhich ◽  
Shweta Sharma ◽  
Mihir Rambhia ◽  
Aloke K. Mathur ◽  
P. R. Patel ◽  
...  
Keyword(s):  
Image Quality ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Fine Resolution

Impulse-response function of splanchnic circulation with model-independent constraints: theory and experimental validation

2003 ◽  
Vol 285 (4) ◽  
pp. G671-G680 ◽  
Author(s):  
Ole L. Munk ◽  
Susanne Keiding ◽  
Ludvik Bass
Keyword(s):  
Portal Vein ◽  
Impulse Response ◽  
Response Function ◽  
Mean Transit Time ◽  
Impulse Response Function ◽  
Parameter Estimates ◽  
Time Activity ◽  
Time Activity Curve ◽  
Transit Times ◽  
Activity Curve

Modeling physiological processes using tracer kinetic methods requires knowledge of the time course of the tracer concentration in blood supplying the organ. For liver studies, however, inaccessibility of the portal vein makes direct measurement of the hepatic dual-input function impossible in humans. We want to develop a method to predict the portal venous time-activity curve from measurements of an arterial time-activity curve. An impulse-response function based on a continuous distribution of washout constants is developed and validated for the gut. Experiments with simultaneous blood sampling in aorta and portal vein were made in 13 anesthetized pigs following inhalation of intravascular [15O]CO or injections of diffusible 3- O-[11C]methylglucose (MG). The parameters of the impulse-response function have a physiological interpretation in terms of the distribution of washout constants and are mathematically equivalent to the mean transit time ( T̄) and standard deviation of transit times. The results include estimates of mean transit times from the aorta to the portal vein in pigs: T̄ = 0.35 ± 0.05 min for CO and 1.7 ± 0.1 min for MG. The prediction of the portal venous time-activity curve benefits from constraining the regression fits by parameters estimated independently. This is strong evidence for the physiological relevance of the impulse-response function, which includes asymptotically, and thereby justifies kinetically, a useful and simple power law. Similarity between our parameter estimates in pigs and parameter estimates in normal humans suggests that the proposed model can be adapted for use in humans.

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