TY - JOUR
T1 - Stationarity and functional central limit theorem for ARCH(∞) models
AU - Lee, Oesook
N1 - Funding Information:
I am grateful to the Editor and an anonymous referee for their helpful comments. This research was supported by Basic Science Research Program through the NRF funded by the Ministry of Education, Science and Technology ( 2014R1A1A2039928 ).
Publisher Copyright:
© 2017
PY - 2018/1
Y1 - 2018/1
N2 - In this paper, we study the stationarity and functional central limit theorem for (random coefficient) ARCH(∞) models including HYAPGARCH and mixture memory GARCH models. Those models are able to cover long memory property with fewer parameters and have finite variances. The functional central limit theorems for ut and the squared processes ut 2 and σt 2 are proved. Sufficient conditions for L2-NED property to hold are established and the FCLT for mixture memory GARCH model as an example of a random coefficient ARCH(∞) process is derived via L2-NED condition.
AB - In this paper, we study the stationarity and functional central limit theorem for (random coefficient) ARCH(∞) models including HYAPGARCH and mixture memory GARCH models. Those models are able to cover long memory property with fewer parameters and have finite variances. The functional central limit theorems for ut and the squared processes ut 2 and σt 2 are proved. Sufficient conditions for L2-NED property to hold are established and the FCLT for mixture memory GARCH model as an example of a random coefficient ARCH(∞) process is derived via L2-NED condition.
KW - Functional central limit theorem
KW - L-NED property
KW - Mixture memory GARCH process
KW - Random coefficient ARCH(∞) process
UR - http://www.scopus.com/inward/record.url?scp=85034582760&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2017.11.017
DO - 10.1016/j.econlet.2017.11.017
M3 - Article
AN - SCOPUS:85034582760
VL - 162
SP - 107
EP - 111
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
ER -