S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 169:
Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints

Changli He () and Timo Teräsvirta ()

Abstract: Nonnegativety constraints on the parameters of the GARCH (p, Q) model may be relaxed without giving up the requirement of the conditional variance remaining non- negative with probability one. This paper looks into the consequences of adopting these less severe constraints in the GARCH (2,2) case and its two second-order special cases, GARCH (2,1) and GARCH (1,2). This is done by comparing the autocorrelation function of squared observations under these two sets of constraints. The less severe constraints allow more flexibility in the shape of the autocorrelation function than the constraints restricting the parameters to be nonnegative. The theory is illustrated by an empirical example.

Keywords: Autoregressive conditional heteroskedasticity; conditional variance; fourth moment condition; time series; volatility; (follow links to similar papers)

JEL-Codes: C22; (follow links to similar papers)

18 pages, April 1997

Download Statistics


This paper is published as:
He, Changli and Timo Teräsvirta, (1999), 'Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints', Journal of Time Series Analysis, Vol. 20, No. 1, pages 23-30



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0169 This page was generated on 2014-12-14 19:22:52