Stationarity of a family of GARCH processes
نویسندگان
چکیده
منابع مشابه
A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.
متن کاملOn the Stationarity of Markov-Switching GARCH Processes
GARCH models with Markov-switching regimes are often used for volatility analysis of nancial time series. Such models imply less persistence in the conditional variance than the standard GARCH model, and potentially provide a signi cant improvement in volatility forecast. Nevertheless, conditions for asymptotic wide-sense stationarity have been derived only for some degenerated models. In this...
متن کاملStationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
This paper collects some of the well known probabilistic properties of GARCH(p, q) processes. In particular, we address the question of strictly and of weakly stationary solutions. We further investigate moment conditions as well as the strong mixing property of GARCH processes. Some distributional properties such as the tail behaviour and continuity properties of the stationary distribution ar...
متن کاملa comparison of linguistic and pragmatic knowledge: a case of iranian learners of english
در این تحقیق دانش زبانشناسی و کاربردشناسی زبان آموزان ایرانی در سطح بالای متوسط مقایسه شد. 50 دانش آموز با سابقه آموزشی مشابه از شش آموزشگاه زبان مختلف در دو آزمون دانش زبانشناسی و آزمون دانش گفتار شناسی زبان انگلیسی شرکت کردند که سوالات هر دو تست توسط محقق تهیه شده بود. همچنین در این تحقیق کارایی کتابهای آموزشی زبان در فراهم آوردن درون داد کافی برای زبان آموزان ایرانی به عنوان هدف جانبی تحقیق ...
15 صفحه اولStationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2009
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2009.00294.x