Volatile ARMA Modelling of GARCH Squares

This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes.

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Year of publication:	2010
Authors:	Lawrance, Anthony J.
Published in:	Central European Journal of Economic Modelling and Econometrics. - CEJEME. - Vol. 2.2010, 3, p. 195-203
Publisher:	CEJEME
Subject:	ARCH \| ARMA \| GARCH \| prediction \| time series \| volatility

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009294824