Limit theory for moderate deviations from integrated GARCH processes
This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to...
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sg-smu-ink.soe_research-32642019-05-16T09:35:02Z Limit theory for moderate deviations from integrated GARCH processes TAO, Yubo This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013). 2019-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2265 info:doi/10.1016/j.spl.2019.03.001 https://ink.library.smu.edu.sg/context/soe_research/article/3264/viewcontent/Limit_Theory_for_Mildly_Integated_GARCH_Processes.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Central limit theorem Limiting process Localization Explosive GARCH Volatility process Econometrics |
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Central limit theorem Limiting process Localization Explosive GARCH Volatility process Econometrics TAO, Yubo Limit theory for moderate deviations from integrated GARCH processes |
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This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013). |
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TAO, Yubo |
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TAO, Yubo |
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TAO, Yubo |
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Limit theory for moderate deviations from integrated GARCH processes |
title_short |
Limit theory for moderate deviations from integrated GARCH processes |
title_full |
Limit theory for moderate deviations from integrated GARCH processes |
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Limit theory for moderate deviations from integrated GARCH processes |
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Limit theory for moderate deviations from integrated GARCH processes |
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limit theory for moderate deviations from integrated garch processes |
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Institutional Knowledge at Singapore Management University |
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2019 |
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https://ink.library.smu.edu.sg/soe_research/2265 https://ink.library.smu.edu.sg/context/soe_research/article/3264/viewcontent/Limit_Theory_for_Mildly_Integated_GARCH_Processes.pdf |
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