Long run behaviour of the autocovariance function of ARCH() models

DOI10.1016/J.JMAA.2012.03.021zbMATH Open1275.62063arXiv1202.5440OpenAlexW2962780127MaRDI QIDQ429271FDOQ429271

John A. D. Appleby, John A. Daniels

Publication date: 19 June 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: The asymptotic properties of the memory structure of ARCH($infty$) equations are investigated. This asymptotic analysis is achieved by expressing the autocovariance function of ARCH($infty$) equations as the solution of a linear Volterra summation equation and analysing the properties of an associated resolvent equation via the admissibility theory of linear Volterra operators. It is shown that the autocovariance function decays subexponentially (or geometrically) if and only if the kernel of the resolvent equation has the same decay property. It is also shown that upper subexponential bounds on the autocovariance function result if and only if similar bounds apply to the kernel.

Full work available at URL: https://arxiv.org/abs/1202.5440

zbMATH Keywords

Volterra equationsubexponential decay

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Additive difference equations (39A10) Applications of difference equations (39A60)

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Cited In (2)

• Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
• On asymptotic constancy for linear discrete summation equations

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