On dynamics of volatilities in nonstationary GARCH models

DOI10.1016/j.spl.2014.07.003zbMath1316.62127OpenAlexW2033512232MaRDI QIDQ467000

Dong Li, Muyi Li, Wu-qing Wu

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.003

zbMATH Keywords

convergence in distributionrenormalizationnonstationarityvolatilitygeneralized autoregressive conditional heteroskedasticity (GARCH)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model ⋮ Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ The ZD-GARCH model: a new way to study heteroscedasticity ⋮ Estimación bayesiana de un Modelo Garch-M Bivariado ⋮ Sample path properties of an explosive double autoregressive model

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