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Asymmetric Modeling in Beta-ARCH Processes
- Authors
- 황선영; Myung-WookKahng
- Issue Date
- Dec-2002
- Publisher
- 한국통계학회
- Citation
- Journal of the Korean Statistical Society, v.31, no.4, pp 459 - 468
- Pages
- 10
- Journal Title
- Journal of the Korean Statistical Society
- Volume
- 31
- Number
- 4
- Start Page
- 459
- End Page
- 468
- ISSN
- 1226-3192
1876-4231
- Abstract
- A class of asymmetric beta-ARCH processes is prosposed 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.
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