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Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
- Authors
- Hong, Won-Tak; Hwang, Eunju
- Issue Date
- Aug-2016
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Regime-switching GARCH model; Volatility; Asymptotic normality
- Citation
- STATISTICS & PROBABILITY LETTERS, v.115, pp.36 - 44
- Journal Title
- STATISTICS & PROBABILITY LETTERS
- Volume
- 115
- Start Page
- 36
- End Page
- 44
- ISSN
- 0167-7152
- Abstract
- In this paper we consider a generalized regime-switching GARCH model with a wide class of dependent innovations, and establish asymptotic normality of the logarithm of volatility in the nonstationary generalized regime-switching GARCH model. This extends existing results for volatilities in nonstationary GARCH model with mixing sequences of innovations. A Monte-Carlo experiment is conducted to validate the main theory for the dynamics of the nonstationary volatilities. (C) 2016 Elsevier B.V. All rights reserved.
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Related Researcher
- Hwang, Eun Ju
- Social Sciences (Department of Applied Statistics)