Functional central limit theorems for augmented GARCH(p, q) and FIGARCH processes

O. Lee

doi:10.1016/j.jkss.2013.12.001

Functional central limit theorems for augmented GARCH(p, q) and FIGARCH processes

O. Lee

Department of Statistics

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

3 Scopus citations

Abstract

In this paper, we study the functional central limit theorem(FCLT) for the augmented GARCH process introduced by Duan (1997). We prove under proper moment assumptions that the process is geometrically L₂-NED and then the FCLT holds. The fractional FCLT for FIGARCH processes is also considered. We examine the FCLT for the APGARCH, EGARCH and HYGARCH models as examples.

Original language	English
Pages (from-to)	393-401
Number of pages	9
Journal	Journal of the Korean Statistical Society
Volume	43
Issue number	3
DOIs	https://doi.org/10.1016/j.jkss.2013.12.001
State	Published - Sep 2014

Keywords

Augmented GARCH
FIGARCH
Fractional FCLT
Functional central limit theorem

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10.1016/j.jkss.2013.12.001

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title = "Functional central limit theorems for augmented GARCH(p, q) and FIGARCH processes",

abstract = "In this paper, we study the functional central limit theorem(FCLT) for the augmented GARCH process introduced by Duan (1997). We prove under proper moment assumptions that the process is geometrically L2-NED and then the FCLT holds. The fractional FCLT for FIGARCH processes is also considered. We examine the FCLT for the APGARCH, EGARCH and HYGARCH models as examples.",

keywords = "Augmented GARCH, FIGARCH, Fractional FCLT, Functional central limit theorem",

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AB - In this paper, we study the functional central limit theorem(FCLT) for the augmented GARCH process introduced by Duan (1997). We prove under proper moment assumptions that the process is geometrically L2-NED and then the FCLT holds. The fractional FCLT for FIGARCH processes is also considered. We examine the FCLT for the APGARCH, EGARCH and HYGARCH models as examples.

KW - Augmented GARCH

KW - FIGARCH

KW - Fractional FCLT

KW - Functional central limit theorem

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U2 - 10.1016/j.jkss.2013.12.001

DO - 10.1016/j.jkss.2013.12.001

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VL - 43

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EP - 401

JO - Journal of the Korean Statistical Society

JF - Journal of the Korean Statistical Society

IS - 3

ER -

Functional central limit theorems for augmented GARCH(p, q) and FIGARCH processes

Abstract

Keywords

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