Conditionally heteroscedastic unobserved component models and their reduced form

The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.

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Year of publication:	2010
Authors:	Pellegrini, Santiago ; Ruiz, Esther ; Espasa, Antoni
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 88-90
Publisher:	Elsevier
Keywords:	State space models Non-Gaussian distributions Excess kurtosis Autocorrelations of squares

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008551355