A Family of Markov-Switching Garch Processes

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	A Family of Markov-Switching Garch Processes
	Liu, Ji-Chun ; Liu JC(刘继春)
刊名	http://dx.doi.org/10.1111/j.1467-9892.2012.00804.x
	2012-11
关键词	AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY INTEREST-RATES TIME-SERIES VOLATILITY REGIME STATIONARITY TAIL ARCH EQUATION MODELS
英文摘要	NSF China [11071202]; NSF Fujian Province of China [2008J0207]; This paper develops a family of Markov-switching GARCH (MSG) processes that not only encompasses some specifications in the literature, but also can be regarded as a Markov-switching version of the family of GARCH processes introduced by He and Terasvirta (J. Econometrics, 1999, 92, 173192). Some structural properties of this new family of MSG processes are considered. First, a sufficient and necessary condition for the existence of the strictly stationary solution of the family of MSG processes is presented. Moreover, we also give a sufficient and necessary condition for the existence of the strictly stationary solution of the family of MSG processes with finite d-order moment. In particular, a definition of so-called family of integrated MSG processes is introduced and its stationarity is also discussed. Next, the general conditions for the existence of any order moment of the family of MSG processes are derived. Finally, by means of a new renewal theorem, we describe the tail of the marginal distribution of the family of MSG processes.
语种	英语
出版者	J TIME SER ANAL
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90955]
专题	数学科学－已发表论文
推荐引用方式 GB/T 7714	Liu, Ji-Chun,Liu JC. A Family of Markov-Switching Garch Processes[J]. http://dx.doi.org/10.1111/j.1467-9892.2012.00804.x,2012.
APA	Liu, Ji-Chun,&刘继春.(2012).A Family of Markov-Switching Garch Processes.http://dx.doi.org/10.1111/j.1467-9892.2012.00804.x.
MLA	Liu, Ji-Chun,et al."A Family of Markov-Switching Garch Processes".http://dx.doi.org/10.1111/j.1467-9892.2012.00804.x (2012).