View : 56 Download: 0

Stationary and β-mixing for a certain asymmetric power GARCH model

Title
Stationary and β-mixing for a certain asymmetric power GARCH model
Authors
지혜진
Issue Date
2003
Department/Major
대학원 통계학과
Publisher
이화여자대학교 대학원
Degree
Master
Abstract
Engle(1982) introduced the autoregressive conditional heteroskedasticity (ARCH) model and Bollerslev(1986) introduced a generalization of the ARCH(GARCH) model. Since then, numerous GARCH-type models have been developed and successfully applied in finance and macroeconomics. There are conditions for a stationarity, ergodicity and an existence of moments of the ARCH and GARCH models. In this paper, first, we arrange these conditions. Then we consider an asymmetric power GARCH(r, s) model that was introduced in Ding et al.(1993). And we show a condition on a stationarity and β-mixing with exponential decay rates of an asymmetric power GARCH(r, s)model by using the theorem in Mokkadem(1990). ;Engle이 1982년 ARCH(autoregressive conditional heteroskedasticity)모형을 소개하였고 1986년에는 Bollerslev가 일반화된 ARCH모형을 소개하였다. 그 이후 여러 종류의 GARCH 모형이 소개되었고 이모형들은 거시경제학과 재정학 분야에 적용되어왔다. 지금까지 ARCH/GARCH 모형의 stationarity와 ergodicity, moment의 존재성에 관한 여러 조견들이 제시되어왔다. 이 논문에서는 우선 이러한 조건들을 정리하였다. 그리고 Ding et. al.(1993)의 asymmetric power GARCH 모형을 소개하고 Mokkadem(1990)의 정리를 이용하여 이 모형의stationarity와 β-mixing with exponential decay rates에 관한 조건을 보이겠다.
Fulltext
Show the fulltext
Appears in Collections:
일반대학원 > 통계학과 > Theses_Master
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE