On the tvGARCH(1,1) model: Existence, CLT, and tail index |
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Authors: | D Ambroževičiūtė A Klivečka |
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Institution: | (1) Vilnius University, Naugarduko 24, LT-03225 Vilnius |
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Abstract: | We study the properties of the tvGARCH(1, 1) model (1.8) with logistic coefficients. We obtain conditions for the existence
of an L
p
-bounded solution (p ⩾ 0) of Eq. (1.8). For p ⩾ 4, we prove an exponential decay of the lagged correlation function and the central limit theorem for partial sums of the
squared tvGARCH(1, 1) process under similar conditions as in the stationary case. In the second part of the paper, we study
the (weak) tail index of the tvGARCH(1, 1) model. |
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Keywords: | GARCH(1 1) model time-varying coefficients L p bounded solution central limit theorem tail index |
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