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May 2008 Augmented GARCH sequences: Dependence structure and asymptotics
Siegfried Hörmann
Bernoulli 14(2): 543-561 (May 2008). DOI: 10.3150/07-BEJ120


The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH, asymmetric GARCH, etc. In this paper, we study the probabilistic structure of augmented GARCH(1, 1) sequences and the asymptotic distribution of various functionals of the process occurring in problems of statistical inference. Instead of using the Markov structure of the model and implied mixing properties, we utilize independence properties of perturbed GARCH sequences to directly reduce their asymptotic behavior to the case of independent random variables. This method applies for a very large class of functionals and eliminates the fairly restrictive moment and smoothness conditions assumed in the earlier theory. In particular, we derive functional CLTs for powers of the augmented GARCH variables, derive the error rate in the CLT and obtain asymptotic results for their empirical processes under nearly optimal conditions.


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Siegfried Hörmann. "Augmented GARCH sequences: Dependence structure and asymptotics." Bernoulli 14 (2) 543 - 561, May 2008.


Published: May 2008
First available in Project Euclid: 22 April 2008

zbMATH: 1155.62066
MathSciNet: MR2544101
Digital Object Identifier: 10.3150/07-BEJ120

Rights: Copyright © 2008 Bernoulli Society for Mathematical Statistics and Probability


Vol.14 • No. 2 • May 2008
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