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

Oesook Lee and Jooyoung Kim

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 23, 8093-8109

Abstract: 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(σt2),|ut|δ, and ut when the process is stationary. We also investigate the dynamic behavior of semi-strong GARCH(1,1) model when it is non stationary.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2021.1887894 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:23:p:8093-8109

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2021.1887894

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().