Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model
نویسندگان
چکیده
منابع مشابه
Moment and Memory Properties of Linear Conditional Heteroscedasticity Models
This paper analyses moment and near-epoch dependence properties for the general class of models in which the conditional variance is a linear function of squared lags of the process. It is shown how the properties of these processes depend independently on the sum and rate of convergence of the lag coefficients, the former controlling the existence of moments, and the latter the memory of the v...
متن کاملMoment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model
This paper analyses moment and near-epoch dependence properties for the general class of models in which the conditional variance is a linear function of squared lags of the process. It is shown how the properties of these processes depend independently on the sum and rate of convergence of the lag coefficients, the former controlling the existence of moments, and the latter the memory of the v...
متن کاملA model for long memory conditional heteroscedasticity
LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in furthe...
متن کاملConditional Heteroscedasticity and Garch Models
a for forecasting purposes arises from the fact that this conditional mean is allowed to be a random varible which depends on the available data, and evolves with time. The conditional variance, however, is r simply var [x e x ] = var [ε ] =σ , which remains constant regardless of the given data. Thus, the linea t t −1 t ε AR (1) model fails to adequately describe the conditional variance. In p...
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: Journal of Business & Economic Statistics
سال: 2004
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500103288619359