Prediction in ARMA models with GARCH in mean effects

被引：18
|
作者：
Karanasos, M [1 ]
机构：
[1] Univ York, York YO1 5DD, N Yorkshire, England
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2001年 / 22卷 / 05期
关键词：
ARMA model; GARCH in mean effects; optimal predictor; autocovariances;
D O I：
10.1111/1467-9892.00241
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper considers forecasting the conditional mean and variance from an ARMA model with LARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSEs are presented. We also derive the formula for the covariance structure of the process and its conditional variance.
引用
收藏
页码：555 / 576
页数：22
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