GARCH Process with Persistent Covariates

• 영문명: GARCH Process with Persistent Covariates
• 발행기관: 한국계량경제학회
• 저자명: Heejoon Han
• 간행물 정보: 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~33쪽, 전체 33쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2007.08.30

영문 초록

While most ARCH type models have been univariate, many previous works considered the GARCH(1,1) model with persistent covariates to provide economic explanations for volatility. Generalizing the model, we consider the GARCH-NNH model, which is a GARCH(1,1) process with a nonlinear function of a persistent, integrated or nearly integrated, variable. Based on the work of the nonlinear regression with integrated time series by Park and Phillips (2001), we derive various asymptotic results related to the model. First, we establish the asymptotic distribution theory of the QMLE in the GARCH-NNH model. It is shown that the QMLE is consistent and its asymptotic distribution is mixed normal. Second, we provide asymptotic theories showing how the GARCH-NNH model explains the stylized facts of volatility in …nancial time series. It is shown that the model successfully explains the long memory property in volatility, leptokurtosis and the IGARCH behavior.

목차

1 Introduction

2 Model and Assumptions

3 Asymptotic Distribution Theory of QMLE

4 Statistical Properties

5 Explanation of IGARCH

6 Conclusion

키워드

GARCH NNH quasi-maximum likelihood estimator asymptotic distribution theory long memory property kurtosis IGARCH