The functional central limit theorem for Markov-switching GARCH model

被引：0

作者：

Kwon, Dream ^{[1
]}

Lee, Oesook ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 03760, South Korea

来源：

ECONOMICS LETTERS | 2024年 / 238卷

关键词：

Markov switching GARCH model; Functional central limit theorem; phi-mixing; CONDITIONAL HETEROSKEDASTICITY; TIME-SERIES;

D O I：

10.1016/j.econlet.2024.111728

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we consider the Markov Switching GARCH model suggested by Haas, Mittnik, and Paolella(2004). We show under proper assumptions that the functional central limit theorems hold for the process, the square of the process, and regime variances. The functional central limit theorem for a linear combination of regime variances is also obtained.

引用

页数：4

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