A model for level induced conditional heteroskedasticity

Michel Jon; de Jong Robert M.

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A model for level induced conditional heteroskedasticity

机译：水平诱导条件异质瘢痕型模型

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摘要

A class of conditional heteroskedasticity models is introduced and analyzed. This class of models is motivated by the desire to allow the level of a GARCH process to influence the volatility. We show the existence of a unique strictly stationary solution which is beta-mixing. The analysis of this model does not rely upon Markov chain methods. (C) 2018 Elsevier B.V. All rights reserved.

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《Statistics & Probability Letters》 |2019年第2019期|共8页
作者
Michel Jon; de Jong Robert M.;
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作者单位

Ohio State Univ Dept Econ 304 Arps Hall Columbus OH 43210 USA;

Ohio State Univ Dept Econ 454 Arps Hall Columbus OH 43210 USA;

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原文格式 PDF
正文语种 eng
中图分类概率论（几率论、或然率论）;
关键词
Conditional heteroskedasticity; GARCH; beta-mixing; Nonlinear time series;

机译：条件异质瘢痕;GARCH;β混合;非线性时间序列;

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1. A model for level induced conditional heteroskedasticity [J] . Michel Jon, de Jong Robert M. Statistics & Probability Letters . 2019,第期

机译：水平诱导条件异质瘢痕型模型
2. Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention [J] . Lawrence Dhliwayo, Florance Matarise, Charles Chimedza Open Journal of Statistics . 2020,第2期

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3. Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention [J] . Lawrence Dhliwayo, Florance Matarise, Charles Chimedza 统计学期刊（英文） . 2020,第002期

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7. Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention [O] . Lawrence Dhliwayo, Florance Matarise, Charles Chimedza 2020

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A model for level induced conditional heteroskedasticity

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