The functional central limit theorem for Markov-switching GARCH model

Dream Kwon and Oesook Lee

Economics Letters, 2024, vol. 238, issue C

Abstract: In this paper we consider the Markov Switching GARCH model suggested by Haas, Mittnik, and Paolella(2004). We show under proper assumptions that the functional central limit theorems hold for the process, the square of the process, and regime variances. The functional central limit theorem for a linear combination of regime variances is also obtained.

Keywords: Markov switching GARCH model; Functional central limit theorem; ϕ-mixing (search for similar items in EconPapers)
JEL-codes: C10 C22 C62 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:238:y:2024:i:c:s0165176524002118

DOI: 10.1016/j.econlet.2024.111728

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