GARCH with omitted persistent covariate

DOI10.1016/J.ECONLET.2014.05.016zbMATH Open1303.62049OpenAlexW2056577254MaRDI QIDQ485597FDOQ485597

Authors Joon Y. Park, Heejoon Han

Publication date 12 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.05.016

zbMATH Keywords

fractionally integrated processGARCH-XIGARCHnonlinear nonstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Neglecting parameter changes in GARCH models
• Continuous-time GARCH processes
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• Covariance stationary GARCH-family models with long memory property
• Periodic Long-Memory GARCH Models
• Varying Coefficient GARCH Models
• Non‐linear GARCH models for highly persistent volatility
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• An Exponential Continuous-Time GARCH Process

Cites work

• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Autoregressive conditional heteroskedasticity and changes in regime
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Level changes in volatility models
• Modelling the persistence of conditional variances
• Neglecting parameter changes in GARCH models
• Nonlinear Regressions with Integrated Time Series
• On convergence of the QMLE for misspecified GARCH models
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model

Cited in

(2)

• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
• Missing mean does no harm to volatility!

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