Non‐linear GARCH models for highly persistent volatility

DOI10.1111/j.1368-423X.2005.00163.xzbMath1095.91046WikidataQ56385113 ScholiaQ56385113MaRDI QIDQ5703229

Pentti Saikkonen, Markku Lanne

Publication date: 8 November 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

nonlinearity; Markov chain; GARCH; stationarity

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes, A simple additivity test for conditionally heteroscedastic nonlinear autoregression, Stability and the Lyapounov exponent of threshold AR-ARCH models, PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS, Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models, MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL, Stability of nonlinear AR-GARCH models, Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models, ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

Cites Work

• Markov chains and stochastic stability
• Stationarity of GARCH processes and of some nonnegative time series
• Mixing: Properties and examples
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS