Stationarity and memory of ARCH(∞) models

被引：32

作者：

Zaffaroni, P ^{[1
]}

机构：

[1] Banca Italia, Serv Studi, I-00184 Rome, Italy

来源：

ECONOMETRIC THEORY | 2004年 / 20卷 / 01期

关键词：

D O I：

10.1017/S0266466604201062

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We establish the necessary and sufficient conditions for covariance stationarity of ARCH(infinity), for both the levels and the squares. The result applies to any form of the conditional variance coefficients. This includes GARCH(p,q) and also specifications with hyperbolically decaying coefficients, such as the autoregressive coefficients of the autoregressive fractionally integrated moving average model. The covariance stationarity condition for the levels rules out long memory in the squares.

引用

页码：147 / 160

页数：14

共 15 条

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[2]

Brockwell P. J., 1987, TIME SERIES THEORY M

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