Communications for Statistical Applications and Methods

  • 제24권5호
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  • Pages.443-455
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  • 2017
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Functional central limit theorems for ARCH(∞) models

  • Choi, Seunghee (Department of Statistics, Ewha Womans University) ;
  • Lee, Oesook (Department of Statistics, Ewha Womans University)
  • 투고 : 2017.03.28
  • 심사 : 2017.09.14
  • 발행 : 2017.09.30
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초록

In this paper, we study ARCH(${\infty}$) models with either geometrically decaying coefficients or hyperbolically decaying coefficients. Most popular autoregressive conditional heteroscedasticity (ARCH)-type models such as various modified generalized ARCH (GARCH) (p, q), fractionally integrated GARCH (FIGARCH), and hyperbolic GARCH (HYGARCH). can be expressed as one of these cases. Sufficient conditions for $L_2$-near-epoch dependent (NED) property to hold are established and the functional central limit theorems for ARCH(${\infty}$) models are proved.

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참고문헌

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