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Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model

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  • Hong, Won-Tak
  • Hwang, Eunju

Abstract

In this paper we consider a generalized regime-switching GARCH model with a wide class of dependent innovations, and establish asymptotic normality of the logarithm of volatility in the nonstationary generalized regime-switching GARCH model. This extends existing results for volatilities in nonstationary GARCH model with mixing sequences of innovations. A Monte-Carlo experiment is conducted to validate the main theory for the dynamics of the nonstationary volatilities.

Suggested Citation

  • Hong, Won-Tak & Hwang, Eunju, 2016. "Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model," Statistics & Probability Letters, Elsevier, vol. 115(C), pages 36-44.
    • Handle: RePEc:eee:stapro:v:115:y:2016:i:c:p:36-44
    DOI: 10.1016/j.spl.2016.04.002
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    Cited by:

    1. Kim, Yujin & Hwang, Eunju, 2018. "A dynamic Markov regime-switching GARCH model and its cumulative impulse response function," Statistics & Probability Letters, Elsevier, vol. 139(C), pages 20-30.

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