Title: GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation
Abstract: This paper considers GARCH(1,1) models in which the time-varying coefficients
are functions of the realizations of an exogenous stochastic process. Time series generated
by this model are in general nonstationary. Necessary and sufficient conditions are given for
the existence of non-explosive solutions, and for the existence of moments of these solutions.
The asymptotic properties of the quasi-maximum likelihood estimator are derived under
mild assumptions and its finite sample properties are investigated by simulations.
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
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