Adaptive realized hyperbolic GARCH process: stability and estimation

DOI10.16929/AS/2021.2629.177MaRDI QIDQ2138236zbMATHWikidataFDO

Authors Elhadji Sall, El Hadji Dème, Abdou Kâ Diongue

Publication date 11 May 2022

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.14714

zbMATH Keywords

long memorystructural changeshigh-frequency datarealized measuresrealized HYGARCH model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Strong limit theorems (60F15)

Abstract: In this paper, we propose an Adaptive Realized Hyperbolic GARCH (A-Realized HYGARCH) process to model the long memory of high-frequency time series with possible structural breaks. The structural change is modeled by allowing the intercept to follow the smooth and flexible function form introduced by Gallant (1984). In addition, stability conditions of the process are investigated. A Monte Carlo study is investigated in order to illustrate the performance of the A-Realized HYGARCH process compared to the Realized HYGARCH with or without structural change.

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Cites work

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Cited in

(3)

• Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
• A note on adaptation in garch models
• Sparse change-point HAR models for realized variance

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