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Activity Number:
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468
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Type:
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Contributed
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Date/Time:
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Wednesday, August 9, 2006 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #305599 |
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Title:
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A Note on the Inequality Constraints for the GARCH Models
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Author(s):
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Henghsiu Tsai*+ and Kung-Sik Chan
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Companies:
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Academia Sinica and The University of Iowa
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Address:
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128 Academia Road, Sec. 2, Taipei, 115, Taiwan
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Keywords:
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absolutely monotone function ; generating function ; volatility
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Abstract:
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For a generalized auto-regressive conditional heteroscedastic (GARCH) model, we derive a necessary and sufficient condition for its conditional variance process to be non-negative. This condition is in terms of the generating function of the kernel defining the ARCH(8)representation of the GARCH model, which has a simple form. We discuss useful implications of this result and delineate the parametric region of stationarity and non-negative kernel for lower-order GARCH models.
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