{"title":"允许分布不对称的流行GARCH过程的规则变化","authors":"Todd Prono","doi":"10.17016/FEDS.2017.095","DOIUrl":null,"url":null,"abstract":"Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in establishing the asymptotic properties of certain GARCH estimators proposed in the literature.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"80 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry\",\"authors\":\"Todd Prono\",\"doi\":\"10.17016/FEDS.2017.095\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in establishing the asymptotic properties of certain GARCH estimators proposed in the literature.\",\"PeriodicalId\":153113,\"journal\":{\"name\":\"Board of Governors of the Federal Reserve System Research Series\",\"volume\":\"80 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-09-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Board of Governors of the Federal Reserve System Research Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.17016/FEDS.2017.095\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Board of Governors of the Federal Reserve System Research Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17016/FEDS.2017.095","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in establishing the asymptotic properties of certain GARCH estimators proposed in the literature.
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