Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.

DOI10.1007/s10986-005-0015-6zbMath1125.62334OpenAlexW2003695431MaRDI QIDQ2487861

A. Klivečka

Publication date: 9 August 2005

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-005-0015-6

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

On the ARCH model with random coefficients

Cites Work

• An invariance principle for certain dependent sequences
• Random coefficient autoregressive models: an introduction
• ARCH modeling in finance. A review of the theory and empirical evidence
• An introduction to stochastic unit-root processes
• Generalized autoregressive conditional heteroscedasticity
• How to make a Hill plot.
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Aggregation in ARCH models
• Stability of random coefficient ARCH models and aggregation schemes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

This page was built for publication: Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.