Functional central limit theorems for ARCH(∞) models

Seunghee Choi; Oesook Lee

doi:10.5351/CSAM.2017.24.5.443

Functional central limit theorems for ARCH(∞) models

Seunghee Choi, Oesook Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

In this paper, we study ARCH(∞) models with either geometrically decaying coefficients or hyperbolically decaying coefficients. Most popular autoregressive conditional heteroscedasticity (ARCH)-type models such as various modified generalized ARCH (GARCH) (p, q), fractionally integrated GARCH (FIGARCH), and hyperbolic GARCH (HYGARCH). can be expressed as one of these cases. Sufficient conditions for L₂-near-epoch dependent (NED) property to hold are established and the functional central limit theorems for ARCH(∞) models are proved.

Original language	English
Pages (from-to)	443-455
Number of pages	13
Journal	Communications for Statistical Applications and Methods
Volume	24
Issue number	5
DOIs	https://doi.org/10.5351/CSAM.2017.24.5.443
State	Published - 1 Sep 2017

Bibliographical note

Funding Information:
This research was supported by Basic Science Research Program through the NRF funded by the Ministry of Education, Science and Technology (No. 2014R1A1A2039928 ).

Publisher Copyright:
© 2017 The Korean Statistical Society, and Korean International Statistical Society.

Keywords

ARCH(∞) model
Functional central limit theorem
L-NED property

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10.5351/CSAM.2017.24.5.443

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Functional central limit theorems for ARCH(∞) models

Abstract

Bibliographical note

Keywords

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