Conditional heteroskedasticity driven by hidden Markov chains (Q2740104)
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scientific article; zbMATH DE number 1646505
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional heteroskedasticity driven by hidden Markov chains |
scientific article; zbMATH DE number 1646505 |
Statements
16 September 2001
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nonlinear time series
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ARCH models
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GARCH models
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hidden Markov chains
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switching models
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stationary solutions
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maximum likelihood
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consistency
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Conditional heteroskedasticity driven by hidden Markov chains (English)
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The authors consider a GARCH equation where coefficients depend on the state of a ~non-observed Markov chain. Necessary and sufficient conditions for existence of stationary and secondary stationary solutions of the equation are given. Properties of maximum likelihood estimates are studied. Some numerical illustrations are given.
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