On the Distributional Properties of GARCH Processes

M. Pawlak and W. Schmid

Journal of Time Series Analysis, 2001, vol. 22, issue 3, 339-352

Abstract: In this paper we study the distributional properties of the generalized autoregressive conditional heteroskedasticity (GARCH) model often being applied in economics. For a large class of non‐normal distributions of the noise process various inequalities on the distribution of the GARCH process are established. Moreover, these results are used to derive useful conclusions about the behavior of the average run length of a Shewhart control chart for time series.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:3:p:339-352

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