Moment and memory properties of linear conditional heteroscedasticity models, and a new model

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Moment and memory properties of linear conditional heteroscedasticity models, and a new model

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Title: Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Author: Davidson, James
Citation: Journal of Business & Economic Statistics, Vol. 22 (1) 2004 , pp. 16-29
Publisher: American Statistical Association
Journal: Journal of Business & Economic Statistics
Date Issued: 2004
URI: http://hdl.handle.net/10036/31993
DOI: 10.1198/073500103288619359
Links: http://www.amstat.org/publications/jbes/
Abstract: 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.
Type: Article
Description: Pre-print dated April 2003
Keywords: heteroscedasticityFIGARCHARCHhyperbolic lagnear epoch dependence
ISSN: 0735001515372707
Funders/Sponsor: Research supported by ESRC grant L138251025


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