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Some statistical results on autoregressive conditionally heteroscedastic models

✍ Scribed by Esmeralda Gonçalves; NazaréMendes Lopes

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
633 KB
Volume
68
Category
Article
ISSN
0378-3758

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✦ Synopsis

The aim of this paper is to present some statistical aspects of an order 1 autoregressive model with errors following a stationary and ergodic generalized threshold ARCH process. So, to analyse the precision of forecasts obtained with these models a probabilistic study will be done. Moreover, a consistent test for a general AR( 1) model with errors following an ergodic white noise of null conditional median will be developed and adapted to our stochastic process.

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