Conditionally heteroscedastic unobserved component models and their reduced form

Santiago Pellegrini, Esther Ruiz () and Antoni Espasa

Economics Letters, 2010, vol. 107, issue 2, 88-90

Abstract: The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.

Keywords: State; space; models; Non-Gaussian; distributions; Excess; kurtosis; Autocorrelations; of; squares (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:2:p:88-90

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