Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints

DOI10.1111/1467-9892.00123zbMath0922.62088OpenAlexW2033054897MaRDI QIDQ4258763

Timo Teräsvirta, Changli He

Publication date: 14 September 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00123

zbMATH Keywords

time seriesautocorrelation functionsgeneralized autoregressive conditional heteroscedastic modelnon-negativity conditions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic processes (60G99)

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