Moment Properties of Hidden Semimartingale Models (HSM) with GARCH Errors

by M. Ghahramani and A. Thavaneswaran.

Abstract: Following Hamilton (1989), in this paper, we propose a semimartingale model with conditional mean of the observed process driven by a semimartingale with volatility driven by a GARCH process. Moment properties of these models including kurtosis are studied in some detail.

Key Words: GARCH, RCA-GARCH, Hidden Semimartingale Model, Nonlinear time series, Semimartingales, Volatility

Authors:
M. Ghahramani, umghahra@cc.umanitoba.ca
A. Thavaneswaran, shelton@maths.usyd.edu.au

Editor: Shelton Peiris,shelton@maths.usyd.edu.au

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