The L2-structures of standard and switching-regime GARCH models
The L2-structures of standard and switching-regime GARCH models
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DOI：
10.1016/j.spa.2005.04.005
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发表时间：
2005-09
影响因子：
1.4
通讯作者：
C. Francq;Jean-Michel ZakoI¨an
中科院分区：
文献类型：
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作者：
C. Francq;Jean-Michel ZakoI¨an
本文分析了马尔可夫切换GARCH（p,q）模型的概率结构，该模型的波动过程由有限状态空间马尔可夫链驱动。给出了任意阶矩存在的充分必要条件。我们发现过程的平方和高阶幂具有ARMA过程的l2结构，因此允许ARMA表示。这些结果适用于标准GARCH模型，并在序识别和参数估计方面具有统计意义。
This paper analyzes the probabilistic structure of Markov-switching GARCH(p,q) models, in which the volatility process is driven by a finite state-space Markov chain. We give necessary and sufficient conditions for the existence of moments of any order. We find that the squares and higher order powers of the process have the L2structures of ARMA processes, and hence admit ARMA representations. These results are applicable to standard GARCH models and have statistical implications in terms of order identification and parameter estimation.