Time series properties of ARCH processes with persistent covariates

Journal of Econometrics

Volumn 146, Issue 2, 2008, Pages 275-292

  Han, Heejoon ^a   Park, Joon Y ^b,c  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b TEXAS A AND M UNIVERSITY   (United States)

^c Sungkyunkwan University   (South Korea)

Author keywords

ARCH; Leptokurtosis; Nonlinearity; Nonstationarity; Persistent covariate; Volatility persistence

Indexed keywords

ARCHES; INDUSTRIAL ECONOMICS;

ARCH; LEPTOKURTOSIS; NONLINEARITY; NONSTATIONARITY; PERSISTENT COVARIATE; VOLATILITY PERSISTENCE;

TIME SERIES ANALYSIS;

EID: 53649111578     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.016     Document Type: Article

References (29)

1. Andersen T.G., Bollerslev T., Diebold F.X., and Labys P. Modeling and forecasting realized volatility. Econometrica 71 (2003) 529-626
2. Andrews D.W.K., and Monahan J. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60 (1992) 953-966
3. Baillie R.T., Bollerslev T., and Mikkelsen H.O. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74 (1996) 3-30
4. Bartlett M.S. On the theoretical specification of sampling properties of autocorrelated time series. B 8 (1946) 24-41
5. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
6. Diebold F.X., and Inoue A. Long memory and regime switching. Journal of Econometrics 105 (2001) 131-159
7. Diebold F.X., and Mariano R.S. Comparing predictive accuracy. Journal of Business and Economic Statistics 13 (1995) 253-263
8. Ding Z., and Granger C.W.J. Modeling volatility persistence of speculative returns: A new approach. Journal of Econometrics 73 (1996) 185-215
9. Ding Z., Granger C.W.J., and Engle R.F. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1 (1993) 83-106
10. Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of UK Inflation. Econometrica 50 (1982) 987-1008
11. Engle R.F., and Lee G.J. A long-run and short-run component model of stock return volatility. In: Engle R., and White H. (Eds). Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger (1999), Oxford University Press 475-497 (Chapter 10)
12. Engle R.F., and Patton A.J. What good is a volatility model?. Quantitative Finance 1 2 (2001) 237-245
13. Glosten L.R., Jagannathan R., and Runkle D. On the relation between the expected value and the volatility of nominal excess returns on stocks. Journal of Finance 48 (1993) 1779-1801
14. Granger C.W.J., and Hyung N. Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance 11 (2004) 399-421
15. Gray S.F. Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics 42 (1996) 27-62
16. Hagiwara M., and Herce M.A. Endogenous exchange rate volatility, trading volume and interest rate differentials in a model of portfolio selection. Review of International Economics 7 2 (1999) 202-218
17. Han, H., Park, J.Y., 2007. ARCH with persistent covariate, mimeograph. Department of Economics, National University of Singapore
18. Hodrick R.J. Risk, uncertainty, and exchange rates. Journal of Monetary Economics 23 (1989) 433-459
19. Kwiatkowski D., Phillips P.C.B., Schmidt P., and Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics 54 (1992) 159-178
20. Lamoureux C.G., and Lastrapes W.D. Heteroskedasticity in stock return data: Volume versus GARCH effects. Journal of Finance 45 (1990) 221-229
21. Laurent, S., Peters, J.P., 2005. G@RCH 4.0, estimating and forecasting ARCH models. Timberlake Consultants
22. Mikosch T., and Starica C. Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects. The Review of Economics and Statistics 86 (2004) 378-390
23. Nelson D.B. Stationarity and persistence in the GARCH(1,1) model. Econometric Theory 6 (1990) 318-334
24. Park J.Y. Nonstationary nonlinear heteroskedasticity. Journal of Econometrics 110 (2002) 383-415
25. Park, J.Y., 2003. Weak unit root, mimeograph. Department of Economics, Rice University
26. Park J.Y., and Phillips P.C.B. Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15 (1999) 269-298
27. Park J.Y., and Phillips P.C.B. Nonlinear regressions with integrated time series. Econometrica 69 (2001) 117-161
28. Phillips P.C.B., and Perron P. Testing for a unit root in time series regression. Biometrika 75 (1988) 335-346
29. Schwert G.W. Why does stock market volatility change over time?. Journal of Finance 44 (1989) 1115-1154