Functional central limit theorems for augmented GARCH(p, q) and FIGARCH processes
- 주제(키워드) Functional central limit theorem , Fractional FCLT , Augmented GARCH , FIGARCH , L-2-NED
- 등재 SCIE, KCI등재, SCOPUS
- 발행기관 KOREAN STATISTICAL SOC
- 발행년도 2014
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000114464
- 본문언어 영어
- Published As http://dx.doi.org/10.1016/j.jkss.2013.12.001
초록/요약
In this paper, we study the functional central limit theorem(FCLT) for the augmented GARCH process introduced by Duan (1997). We prove under proper moment assumptions that the process is geometrically L-2-NED and then the FCLT holds. The fractional FCLT for FIGARCH processes is also considered. We examine the FCLT for the APGARCH, EGARCH and HYGARCH models as examples. (C) 2013 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
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