Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model

被引：3

作者：

Hong, Won-Tak

Hwang, Eunju ^{[1
]}

机构：

[1] Gachon Univ, Dept Appl Stat, Songnam, South Korea

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 115卷

基金：

新加坡国家研究基金会;

关键词：

Regime-switching GARCH model; Volatility; Asymptotic normality; CENTRAL-LIMIT-THEOREM; TIME-SERIES; RATES;

D O I：

10.1016/j.spl.2016.04.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider a generalized regime-switching GARCH model with a wide class of dependent innovations, and establish asymptotic normality of the logarithm of volatility in the nonstationary generalized regime-switching GARCH model. This extends existing results for volatilities in nonstationary GARCH model with mixing sequences of innovations. A Monte-Carlo experiment is conducted to validate the main theory for the dynamics of the nonstationary volatilities. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：36 / 44

页数：9

共 22 条

[1] Theory and inference for a Markov switching GARCH model [J].