Stationarity and the existence of moments of a family of GARCH processes.

DOI10.1016/S0304-4076(01)00090-2zbMath1043.62073MaRDI QIDQ1858910

Shiqing Ling, Michael McAleer

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

ergodicityGARCHstationarityexistence of moments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (69)

LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES ⋮ An econometric analysis of asymmetric volatility: theory and application to patents ⋮ Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments ⋮ Consistent order selection for ARFIMA processes ⋮ US stock returns: are there seasons of excesses? ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test ⋮ ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL ⋮ Shifts in volatility driven by large stock market shocks ⋮ Limit theory for a general class of GARCH models with just barely infinite variance ⋮ A Heteroskedasticity-RobustF-Test Statistic for Individual Effects ⋮ Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ Semi- and nonparametric ARCH processes ⋮ Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility ⋮ Statistical inference for conditional quantiles in nonlinear time series models ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors ⋮ Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach ⋮ Asymmetric GARCH processes featuring both threshold effect and bilinear structure ⋮ Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data ⋮ Stability of random coefficient ARCH models and aggregation schemes ⋮ Modelling the asymmetric volatility of electronics patents in the USA. ⋮ Fat tails and asymmetry in financial volatility models. ⋮ On dynamics of volatilities in nonstationary GARCH models ⋮ Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk ⋮ Multivariate volatility in environmental finance ⋮ Portfolio single index (PSI) multivariate conditional and stochastic volatility models ⋮ How has volatility in metals markets changed? ⋮ Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach ⋮ AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY ⋮ Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures ⋮ GFC-robust risk management under the Basel accord using extreme value methodologies ⋮ A detailed comparison of value at risk estimates ⋮ Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models ⋮ Asymptotic spectral theory for nonlinear time series ⋮ MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL ⋮ Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model ⋮ On the existence of higher-order moments of periodic GARCH models ⋮ A double-threshold GARCH model of stock market and currency shocks on stock returns ⋮ Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model ⋮ NM-QELE for ARMA-GARCH models with non-Gaussian innovations ⋮ Comparative analysis of risk ratings for the East European region ⋮ Related commodity markets and conditional correlations ⋮ Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations ⋮ A model selection method for S‐estimation ⋮ BL-GARCH models with elliptical distributed innovations ⋮ Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes ⋮ Forecasting volatility in bitcoin market ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ Stationarity and geometric ergodicity of a class of nonlinear ARCH models ⋮ A decision rule to minimize daily capital charges in forecasting value-at-risk ⋮ Augmented GARCH sequences: Dependence structure and asymptotics ⋮ Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH ⋮ Modelling risk in agricultural finance: Application to the poultry industry in Taiwan ⋮ A note on Jarque-Bera normality test for ARMA-GARCH innovations ⋮ ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS ⋮ Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets ⋮ A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models ⋮ Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility ⋮ Stationarity of a family of GARCH processes ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES ⋮ A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction ⋮ A stochastic dominance approach to financial risk management strategies ⋮ GARCH options via local risk minimization ⋮ Testing the existence of moments for GARCH processes ⋮ LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stationarity of GARCH processes and of some nonnegative time series
• Properties of moments of a family of GARCH processes
• The second moment and the autocovariance function of the squared errors of the GARCH model
• Moving average conditional heteroskedastic processes
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Quadratic ARCH Models
• Threshold heteroskedastic models

This page was built for publication: Stationarity and the existence of moments of a family of GARCH processes.