A new nonlinear for GARCH models

Resumen

In this note we deduce a new mathematical representation, based on a discrete-time nonlinear state–space formulation, to characterize Generalized AutoRegresive Conditional Heteroskedasticity (GARCH) models. The purpose pursued by this article is to use the models presented herein to develop estimation techniques which are also valid in the situation when observations are missing.

Autores: Ossandón, S., Bahamonde, N.

Journal: Comptes Rendus Mathematique

Journal Volume: 351

Journal Issue: 5-6

Journal Page: 235-239

Tipo de publicación: ISI

Fecha de publicación: 2013

Topics:

DOI: http://dx.doi.org/10.1016/j.crma.2013.02.014

URL de la publicación: https://www.researchgate.net/publication/257674094_A_new_nonlinear_formulation_for_GARCH_models