Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Moment and memory properties of linear conditional heteroscedasticity models, and a new model
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DOI：
10.1198/073500103288619359
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发表时间：
2004-01-01
影响因子：
3
通讯作者：
Davidson, J
中科院分区：
文献类型：
--
作者：
Davidson, J
本文分析了条件异方差模型的统计性质，其中条件方差是过程滞后平方的线性函数。GERMAN、IGERMAN、FIGERMAN和新提出的广义HYGERMAN模型都属于这一类。条件推导出的存在的第二和第四时刻，和近历元依赖的有限记忆条件。HYGRESS模型适用于10个每日美元汇率，也适用于1997年危机期间亚洲汇率的数据。在后一种情况下，该模型在危机前和危机后时期都表现出显著的稳定性。
This article analyses the statistical properties of that general class of conditional heteroscedasticity models in which the conditional variance is a linear function of squared lags of the process. GARCH, IGARCH, FIGARCH, and a newly proposed generalization, the HYGARCH model, belong to this class. Conditions are derived for the existence of second and fourth moments, and for the limited memory condition of near-epoch dependence. The HYGARCH model is applied to 10 daily dollar exchange rates, and also to data for Asian exchange rates over the 1997 crisis period. In the latter case, the model exhibits notable stability across the pre-crisis and post-crisis periods.