کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152554 1489864 2016 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
چکیده انگلیسی

In this paper we consider a generalized regime-switching GARCH model with a wide class of dependent innovations, and establish asymptotic normality of the logarithm of volatility in the nonstationary generalized regime-switching GARCH model. This extends existing results for volatilities in nonstationary GARCH model with mixing sequences of innovations. A Monte-Carlo experiment is conducted to validate the main theory for the dynamics of the nonstationary volatilities.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 115, August 2016, Pages 36–44
نویسندگان
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