Dependence structure of stable R-GARCH processes

Joanna Nowicka-Zagrajek and Aleksander Weron

No HSC/01/02, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper we investigate properties of R-GARCH processes with positive strictly stable innovations. We derive the unconditional distributions and analyze the dependence structure. This analysis is carried out by means of the measure of dependence - the codifference - which extends the behavior of the covariance function to situations where the covariance function is no longer defined. In the case of R-GARCH(1,1,0) process we determine the exact asymptotic behavior.

Keywords: Stable distribution; R-GARCH process; dependence; codifference (search for similar items in EconPapers)
JEL-codes: C16 C22 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Probability and Mathematical Statistics 21(2) (2001) 209-223

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_01_02.pdf Final draft, 2001 (application/pdf)

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