Strong Approximation for the Sums of Squares of Augmented GARCH Sequences
نویسندگان
چکیده
Abstract: We study so–called augmented GARCH sequences, which include many submodels of considerable interest, such as polynomial and exponential GARCH. To model the returns of speculative assets, it is particularly important to understand the behaviour of the squares of the observations. The main aim of this paper is to present a strong approximation for the sum of the squares. This will be achieved by an approximation of the volatility sequence with a sequence of blockwise independent random variables. Furthermore, we derive a necessary and sufficient condition for the existence of a unique (strictly) stationary solution of the general augmented GARCH equations. Also, necessary and sufficient conditions for the finiteness of moments are provided.
منابع مشابه
Augmented GARCH sequences: Dependence structure and asymptotics
The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH, asymmetric GARCH, etc. In this paper, we study the probabilistic structure of augmented GARCH(1,1) sequences and the asymptotic distribution of various ...
متن کاملSome results of 2-periodic functions by Fourier sums in the space Lp(2)
In this paper, using the Steklov function, we introduce the generalized continuity modulus and denethe class of functions Wr;kp;' in the space Lp. For this class, we prove an analog of the estimates in [1]in the space Lp.
متن کاملStrong Laws for Weighted Sums of Negative Dependent Random Variables
In this paper, we discuss strong laws for weighted sums of pairwise negatively dependent random variables. The results on i.i.d case of Soo Hak Sung [9] are generalized and extended.
متن کاملNumerical solution of the spread of infectious diseases mathematical model based on shifted Bernstein polynomials
The Volterra delay integral equations have numerous applications in various branches of science, including biology, ecology, physics and modeling of engineering and natural sciences. In many cases, it is difficult to obtain analytical solutions of these equations. So, numerical methods as an efficient approximation method for solving Volterra delay integral equations are of interest to many res...
متن کاملStrong Convergence of Weighted Sums for Negatively Orthant Dependent Random Variables
We discuss in this paper the strong convergence for weighted sums of negatively orthant dependent (NOD) random variables by generalized Gaussian techniques. As a corollary, a Cesaro law of large numbers of i.i.d. random variables is extended in NOD setting by generalized Gaussian techniques.
متن کامل