Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model

Won-Tak Hong and Eunju Hwang

Statistics & Probability Letters, 2016, vol. 115, issue C, 36-44

Abstract: In this paper we consider a generalized regime-switching GARCH model with a wide class of dependent innovations, and establish asymptotic normality of the logarithm of volatility in the nonstationary generalized regime-switching GARCH model. This extends existing results for volatilities in nonstationary GARCH model with mixing sequences of innovations. A Monte-Carlo experiment is conducted to validate the main theory for the dynamics of the nonstationary volatilities.

Keywords: Regime-switching GARCH model; Volatility; Asymptotic normality (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:115:y:2016:i:c:p:36-44

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DOI: 10.1016/j.spl.2016.04.002

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