Random coefficient GARCH models

DOI10.1016/J.MCM.2004.02.032zbMath1079.62088OpenAlexW2056414233MaRDI QIDQ814261

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

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)

Related Items (14)

RCA models with correlated errors ⋮ Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing ⋮ Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance ⋮ RCA model with quadratic GARCH innovation distribution ⋮ Properties of a new family of volatility sign models ⋮ A note on GARCH model identification ⋮ On the ARCH model with random coefficients ⋮ Fuzzy coefficient volatility (FCV) models with applications ⋮ Recent developments in volatility modeling and applications ⋮ Random coefficient volatility models ⋮ Combining estimating functions for volatility ⋮ RCA models with GARCH innovations ⋮ Forecasting volatility ⋮ Random coefficient mixture (RCM) GARCH models

Cites Work

• Unnamed Item
• A nonlinear time series model and estimation of missing observations
• Prediction via estimating functions
• Properties of moments of a family of GARCH processes
• A note on filtering for long memory processes
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• Modeling volatility persistence of speculative returns: a new approach
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

This page was built for publication: Random coefficient GARCH models