A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE

DOI10.17654/AS052060363zbMath1422.62276OpenAlexW2805847041MaRDI QIDQ5229423

Brahim Benaid, Hassane Bouzahir

Publication date: 15 August 2019

Published in: Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/as052060363

zbMATH Keywords

convergence in distributionstochastic integralsvolatility persistencestatistical testIGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic integral equations (60H20)

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