کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527673 958950 2005 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The L2-structures of standard and switching-regime GARCH models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
The L2-structures of standard and switching-regime GARCH models
چکیده انگلیسی
This paper analyzes the probabilistic structure of Markov-switching GARCH(p,q) models, in which the volatility process is driven by a finite state-space Markov chain. We give necessary and sufficient conditions for the existence of moments of any order. We find that the squares and higher order powers of the process have the L2 structures of ARMA processes, and hence admit ARMA representations. These results are applicable to standard GARCH models and have statistical implications in terms of order identification and parameter estimation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 115, Issue 9, September 2005, Pages 1557-1582
نویسندگان
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