On the Distributional Properties of GARCH Processes
On the Distributional Properties of GARCH Processes
复制标题
关于 GARCH 过程的分布特性
DOI：
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
W. Schmid
中科院分区：
文献类型：
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作者：
M. Pawlak;W. Schmid
本文研究了经济学中常用的广义自回归条件异方差模型的分布性质。对于噪声过程的一大类非正态分布，建立了关于Gestival过程分布的各种不等式。此外，这些结果被用来得出有用的结论的行为的休哈特控制图的时间序列的平均游程长度。
In this paper we study the distributional properties of the generalized autoregressive conditional heteroskedasticity (GARCH) model often being applied in economics. For a large class of non‐normal distributions of the noise process various inequalities on the distribution of the GARCH process are established. Moreover, these results are used to derive useful conclusions about the behavior of the average run length of a Shewhart control chart for time series.