[KSCI] Korea Science Citation Index Service

Asymmetric Modeling in Beta-ARCH Processes

S. Y. Hwang (Department of Statistics, Sookmyung Women′s University)
Kahng, Myung-Wook (Department of Statistics, Sookmyung Women′s University)

Publication Information

Journal of the Korean Statistical Society / v.31, no.4, 2002 , pp. 459-468 More about this Journal

Abstract

A class of asymmetric beta-ARCH processes is proposed and connections to traditional ARCH models are explained. Geometric ergodicity of the model is discussed. Conditional least squares as well as maximum likelihood estimators of parameters and their limit results are also presented. A test for symmetry of the model is studied with limiting power of test statistic given.

Keywords

Asymmetric beta-ARCH; geometric ergodicity; test for symmetry;

Citations & Related Records

Reference

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