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GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation

dc.contributor.authorZakoïan, Jean-Michel
dc.contributor.authorRegnard, Nazim
dc.date.accessioned2009-10-19T09:47:37Z
dc.date.available2009-10-19T09:47:37Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2285
dc.language.isoenen
dc.subjectQuasi-Maximum Likelihood Estimationen
dc.subjectStrong Consistencyen
dc.subjectTime-Varying Modelsen
dc.subjectAsymptotic Normalityen
dc.subjectExistence of Nonexplosive Solutionsen
dc.subjectGARCHen
dc.subjectNonstationary Processesen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelC13en
dc.subject.classificationjelC73en
dc.titleGARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimationen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of moments of these solutions. The asymptotic properties of the quasi-maximum likelihood estimator are derived under mild assumptions and its finite sample properties are investigated by simulations.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages35en
dc.relation.ispartofseriestitleCahiers de la Chaire Finance et Développement Durableen
dc.relation.ispartofseriesnumber13en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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