On the existence of some ARCH()processes

DOI10.1016/J.SPA.2007.06.002MaRDI QIDQ2483465zbMATH OpenOpenAlexFDO

Authors Randal Douc, François Roueff, Philippe Soulier

Publication date 28 April 2008

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0611339

zbMATH Keywords

long memoryARCH processesfractionally integrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Abstract: A new sufficient condition for the existence of a stationary causal solution of an ARCH($infty$) equation is provided. This condition allows to consider polynomially decaying coefficients, so that it can be applied to the so-called FIGARCH processes, whose existence is thus proved.

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Cites work

• A new theorem on the existence of invariant distributions with applications to ARCH processes
• ARCH-type bilinear models with double long memory.
• Change-point estimation in ARCH models
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Regular variation of GARCH processes.
• Stationarity of GARCH processes and of some nonnegative time series

Cited in

(14)

• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
• Conditional asymmetry in power ARCH\((\infty)\) models
• Aggregation of the random coefficient GLARCH(1,1) process
• Stationary integrated ARCH(\(\infty\)) and AR(\(\infty\)) processes with finite variance
• Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
• Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
• ON STATIONARITY IN THE ARCH(∞) MODEL
• A new hyperbolic GARCH model
• Semi- and nonparametric ARCH processes
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Asymptotic theory for fractionally integrated asymmetric power ARCH models
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• A new theorem on the existence of invariant distributions with applications to ARCH processes
• A LARCH(∞) Vector Valued Process

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