SSE/EFI Working Paper Series in Economics and Finance
Higher-order dependence in the general Power ARCH process and a special case
() and Timo Teräsvirta
Abstract: In this paper we consider a general first-order power ARCH
process and, in particular, a special case in which the power parameter
approaches zero. These considerations give us the autocorrelation function
of the logarithms of the squared observations for first-order exponential
and logarithmic GARCH processes. These autocorrelations decay exponentially
with the lag and may be used for checking how well an estimated exponential
or logarithmic GARCH model characterizes the corresponding autocorrelation
structure of the observations. The results of the paper are also useful in
illustrating differences in the autocorrelation structures of the classical
first-order GARCH and the exponential or logarithmic GARCH models.
Keywords: Box-Cox transformation; conditional heteroskedasticity; exponential GARCH; logarithmic GARCH; higher-order dependence; (follow links to similar papers)
JEL-Codes: C22; (follow links to similar papers)
16 pages, April 21, 1999
The forthcoming version of the paper is C. He, H. Malmsten and T. Teräsvirta: Higher-order dependence in the general Power ARCH process and the role of the power parameter
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- This paper is published as:
He, Changli and Timo Teräsvirta, (2008), 'Higher-order dependence in the general Power ARCH process and a special case' in Shalabh, X and C. Heumann (eds.) Recent advances in linear models and related areas, pages 231-251, Springer, ISBN 978-3-7908-2063-8.
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