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
收藏
页码：36 / 44
页数：9
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