| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152554 | Statistics & Probability Letters | 2016 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Won-Tak Hong, Eunju Hwang,