Random coefficient mixture (RCM) GARCH models

DOI10.1016/j.mcm.2005.02.004zbMath1121.62560OpenAlexW2009082349MaRDI QIDQ815363

S. S. Appadoo, A. Thavaneswaran, Jagbir Singh

Publication date: 16 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.2005.02.004

zbMATH Keywords

asset pricingstochastic volatilitykurtosisGARCHleptokurticvolatility smilegeneral GARCH(1, 1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• Random coefficient GARCH models
• Prediction via estimating functions
• Properties of moments of a family of GARCH processes
• ARCH-type bilinear models with double long memory.
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• Moments of Markov switching models
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

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