Conditionally heteroscedastic unobserved component models and their reduced form

被引：1
|
作者：
Pellegrini, Santiago [1 ]
Ruiz, Esther [1 ]
Espasa, Antoni [1 ]
机构：
[1] Univ Carlos III, Dept Estadist, Madrid, Spain
来源：
ECONOMICS LETTERS | 2010年 / 107卷 / 02期
关键词：
State space models; Non-Gaussian distributions; Excess kurtosis; Autocorrelations of squares;
D O I：
10.1016/j.econlet.2009.12.034
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：88 / 90
页数：3
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