Asymptotics for semi-strong augmented GARCH(1,1) model

被引：0

作者：

Lee, Oesook ^{[1
]}

Kim, Jooyoung ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 03760, South Korea

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2022年 / 51卷 / 23期

关键词：

Semi-strong augmented GARCH(1,1) model; functional central limit theorem; L-2-NED; alpha-mixing; phi-mixing;

D O I：

10.1080/03610926.2021.1887894

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 article, we study a family of so-called semi-strong augmented GARCH(1,1) model where the innovation process is strictly stationary and mixing instead of independent and identically distributed. We give a necessary and sufficient condition for stationarity of the process and study the functional central limit theorems for h(sigma(2)(t)), vertical bar u(t)vertical bar(0), and u(t) when the process is stationary. We also investigate the dynamic behavior of semi-strong GARCH(1,1) model when it is non stationary.

引用

页码：8093 / 8109

页数：17

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