Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5100328 | Journal of Empirical Finance | 2016 | 14 Pages |
Abstract
This paper derives a simple sufficient condition for strict stationarity in the ARCH(â) class of processes with conditional heteroscedasticity. The concept of persistence in these processes is explored, and is the subject of a set of simulations showing how persistence depends on both the pattern of lag coefficients of the ARCH model and the distribution of the driving shocks. The results are used to argue that an alternative to the usual method of ARCH/GARCH volatility forecasting should be considered.
Related Topics
Social Sciences and Humanities
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Authors
James Davidson, Xiaoyu Li,