2017•Communications for Statistical Applications and MethodsOpen access

Functional central limit theorems for ARCH(∞) models

Seunghee Choi, Oesook Lee

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 L 2 -near-epoch dependent (NED) property to hold are established and the functional central limit theorems for ARCH(∞) models are proved.

Open-access reader

About this research paper

What this paper is about

Why it matters

OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Arch, Autoregressive conditional heteroskedasticity, Heteroscedasticity, Central limit theorem, Autoregressive model, Mathematics, Applied mathematics, Limit (mathematics)