Some limiting properties for GARCH(p; q)-X processes

다국어 초록 (Multilingual Abstract)

In this paper, we propose a modified GARCH(p; q)-X model which is obtained by adding the exogenous variables to the modified GARCH(p; q) process. Some limiting properties are shown under various stationary and nonstationary exogenous processes which are generated by another process independent of the noise process. The proposed model extends the GARCH(1; 1)-X model studied by Han (2015) to various GARCH(p; q)-type models such as GJR GARCH, asymptotic power GARCH and VGARCH combined with exogenous process. In comparison with GARCH(1; 1)-X, we expect that many stylized facts including long memory property of the financial time series can be explained effectively by modified GARCH(p; q) model combined with proper additional covariate.

참고문헌 (Reference)

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