VSE knjižnice (vzajemna bibliografsko-kataložna baza podatkov COBIB.SI)
  • Properties and estimation of garch(1,1) model
    Posedel, Petra
    We study in depth the properties of the GARCH(1,1) model and the assumptions on the parameter space under which the process is stationary. In particular, we prove ergodicity and strong stationarity ... for the conditional variance (squared volatility) of the process. We show under which conditions higher order moments of the GARCH(1,1) process exist and conclude that GARCH processes are heavy-tailed. We investigate the sampling behavior of the quasi-maximum likelihood estimator of the Gaussian GARCH(1,1) model. A boundedconditional fourth moment of the rescaled variable (the ratio of the disturbance to the conditional standard deviation) is sufficient for the result. Consistent estimation and asymptotic normality are demonstrated, as well as consistent estimation of the asymptotic covariance matrix.
    Vir: Advances in methodology and statistics = Metodološki zvezki. - ISSN 1854-0023 (no. 2, 2005, str. 243-257)
    Vrsta gradiva - članek, sestavni del
    Leto - 2005
    Jezik - angleški
    COBISS.SI-ID - 24315997

    Povezava(-e):

    http://mrvar.fdv.uni-lj.si/pub/mz/mz2.1/posedel.pdf
    Repozitorij Univerze v Ljubljani – RUL
    Digitalna knjižnica Slovenije - dLib.si

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