A new nonlinear formulation for GARCH models |
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| Authors: | Sebastian Ossandón Natalia Bahamonde |
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| Affiliation: | 1. Instituto de Matemáticas, Pontificia Universidad Católica de Valparaíso, Casilla 4059, Valparaíso, Chile;2. Instituto de Estadística, Pontificia Universidad Católica de Valparaíso, Casilla 4059, Valparaíso, Chile |
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| Abstract: | In this note we deduce a new mathematical representation, based on a discrete-time nonlinear state–space formulation, to characterize Generalized AutoRegresive Conditional Heteroskedasticity (GARCH) models. The purpose pursued by this article is to use the models presented herein to develop estimation techniques which are also valid in the situation when observations are missing. |
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