EconPapers    
Economics at your fingertips  
 

The Covariance Structure of Mixed ARMA Models

Menelaos Karanasos ()

Discussion Papers from Department of Economics, University of York

Abstract: This paper extents Karanasos (1999a) results for the n Component GARCH(1,1) and the two Component GARCH(2,2) models and it further examines the n Component GARCH(n,n) model. In particular, we present the GARCH(n^2;n^2) representation of the aggregate variance and we give the condition for the existence of the fourth moment of the errors. In addition, we use the canonical factorization of the autocovariance generating function for the univariate ARMA representations of the component variances, the aggregate variance and the squared errors to obtain their autocovariances and cross covariances. Finally, we illustrate our general results giving three examples: the three component GARCH(1,1), the two component GARCH(2,2) and the three component GARCH(2,2) models.

Keywords: Persistence in Volatility; Component-GARCH; ARMA Representations; Autocovariance Generating Function. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.york.ac.uk/media/economics/documents/discussionpapers/2000/0011.pdf (application/pdf)

Related works:
Working Paper: The Covariance Structure of Mixed ARMA Models Downloads
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:yor:yorken:00/11

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson ().

 
Page updated 2019-09-19
Handle: RePEc:yor:yorken:00/11