Higher-order dependence in the general Power ARCH process and a special case
In this paper we consider a general first-order power ARCH process and, in particular, a special case in which the power parameter approaches zero. These considerations give us the autocorrelation function of the logarithms of the squared observations for first-order exponential and logarithmic GARCH processes. These autocorrelations decay exponentially with the lag and may be used for checking how well an estimated exponential or logarithmic GARCH model characterizes the corresponding autocorrelation structure of the observations. The results of the paper are also useful in illustrating differences in the autocorrelation structures of the classical first-order GARCH and the exponential or logarithmic GARCH models.
|Date of creation:||21 Apr 1999|
|Date of revision:|
|Publication status:||Published in Recent advances in linear models and related areas, Shalabh, X, Heumann, C. (eds.), 2008, pages 231-251, Springer.|
|Note:||The forthcoming version of the paper is C. He, H. Malmsten and T. Teräsvirta: Higher-order dependence in the general Power ARCH process and the role of the power parameter|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- He, Changli & Teräsvirta, Timo, 1997.
"Properties of Moments of a Family of GARCH Processes,"
SSE/EFI Working Paper Series in Economics and Finance
198, Stockholm School of Economics.
- He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0315. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin)
If references are entirely missing, you can add them using this form.