Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model

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• 作者：Won-Tak Hong ; Eunju Hwang ; ^{ehwang@gachon.ac.kr" class="auth_mail" title="E-mail the corresponding author}
• 关键词：primary ; 62E20 ; secondary ; 60E05 ; 37M10
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：August 2016
• 年：2016
• 卷：115
• 期：Complete
• 页码：36-44
• 全文大小：1556 K

文摘

In this paper we consider a generalized regime-switching GARCH model with a wide class of dependent innovations, and establish asymptotic normality of the logarithm of volatility in the nonstationary generalized regime-switching GARCH model. This extends existing results for volatilities in nonstationary GARCH model with mixing sequences of innovations. A Monte-Carlo experiment is conducted to validate the main theory for the dynamics of the nonstationary volatilities.