Random coefficient GARCH models

DOI10.1016/J.MCM.2004.02.032zbMATH Open1079.62088OpenAlexW2056414233MaRDI QIDQ814261FDOQ814261

Authors: N. E. Zubov 

Publication date: 6 February 2006

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2004.02.032

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zbMATH Keywords

GARCHKurtosisPower GARCH and general GARCH(1,1) modelsStochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Modeling volatility persistence of speculative returns: a new approach
• Random coefficient autoregression, regime switching and long memory
• Properties of moments of a family of GARCH processes
• Title not available (Why is that?)
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• A nonlinear time series model and estimation of missing observations
• Prediction via estimating functions
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• A note on filtering for long memory processes

Cited In (19)

• Recent developments in volatility modeling and applications
• Random coefficient volatility models
• Properties of a new family of volatility sign models
• On the ARCH model with random coefficients
• RCA model with quadratic GARCH innovation distribution
• Fuzzy coefficient volatility (FCV) models with applications
• Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
• Random coefficient mixture (RCM) GARCH models
• RCA models with GARCH innovations
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
• Forecasting volatility
• Combining estimating functions for volatility
• Title not available (Why is that?)
• RCA models with correlated errors
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Varying Coefficient GARCH Models
• Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
• A note on GARCH model identification
• Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations

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