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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dc.contributor.author Davidson, James en_GB
dc.contributor.department University of Exeter (Cardiff Business School at time of writing) en_GB
dc.date.accessioned 2008-07-15T11:10:36Z en_GB
dc.date.accessioned 2011-01-25T10:25:43Z en_US
dc.date.accessioned 2013-03-19T15:55:54Z
dc.date.issued 2004 en_GB
dc.description.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. en_GB
dc.description.sponsorship Research supported by ESRC grant L138251025 en_GB
dc.identifier.citation Journal of Business & Economic Statistics, Vol. 22 (1) 2004 , pp. 16-29 en_GB
dc.identifier.doi 10.1198/073500103288619359 en_GB
dc.identifier.uri http://hdl.handle.net/10036/31993 en_GB
dc.language.iso en en_GB
dc.publisher American Statistical Association en_GB
dc.relation.url http://www.amstat.org/publications/jbes/ en_GB
dc.subject heteroscedasticity en_GB
dc.subject FIGARCH en_GB
dc.subject ARCH en_GB
dc.subject hyperbolic lag en_GB
dc.subject near epoch dependence en_GB
dc.title Moment and memory properties of linear conditional heteroscedasticity models, and a new model en_GB
dc.type Article en_GB
dc.date.available 2008-07-15T11:10:36Z en_GB
dc.date.available 2011-01-25T10:25:43Z en_US
dc.date.available 2013-03-19T15:55:54Z
dc.identifier.issn 07350015 en_GB
dc.identifier.issn 15372707 en_GB
dc.description Pre-print dated April 2003 en_GB
dc.identifier.journal Journal of Business & Economic Statistics en_GB


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