Near-integrated GARCH sequences

DOI10.1214/105051604000000783MaRDI QIDQ1774201zbMATH OpenOpenAlexFDO

Authors István Berkes, Lajos Horváth, Piotr Kokoszka

Publication date 29 April 2005

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0503520

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Abstract: Motivated by regularities observed in time series of returns on speculative assets, we develop an asymptotic theory of GARCH(1,1) processes {y_k} defined by the equations y_k=sigma_kepsilon_k, sigma_k^2=omega +alpha y_{k-1}^2+�eta sigma_{k-1}^2 for which the sum alpha +�eta approaches unity as the number of available observations tends to infinity. We call such sequences near-integrated. We show that the asymptotic behavior of near-integrated GARCH(1,1) processes critically depends on the sign of gamma :=alpha +�eta -1. We find assumptions under which the solutions exhibit increasing oscillations and show that these oscillations grow approximately like a power function if gamma leq 0 and exponentially if gamma >0. We establish an additive representation for the near-integrated GARCH(1,1) processes which is more convenient to use than the traditional multiplicative Volterra series expansion.

Recommendations

Cites work

Cited in

(8)

This page was built for publication: Near-integrated GARCH sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1774201)