04 - Lévy-stable behavior of squares - Donatas SURGAILIS

We introduce a new modification of Sentana's (1995) Quadratic ARCH (QARCH), the Linear ARCH (LARCH) (Giraitis et al., 2000, 2004) and the bilinear models (Giraitis and Surgailis, 2002), which can combine the following properties: (a.1) conditional heteroskedasticity (a.2) long memory (a.3) the leverage effect (a.4) strict positivity of volatility (a.5) Lévy-stable limit behavior of partial sums of squares Sentana's QARCH model is known for properties (a.1), (a.3), (a.4), and the LARCH model for (a.1), (a.2), (a.3). Property (a.5) is new. References: [1] Giraitis, L., Robinson, P.M., Surgailis, D. (2000) A model for long memory conditional heteroscedasticity, Ann. Appl. Probab. 10, 1002--1024. [2] Giraitis, L., Surgailis, D. (2002) ARCH-type bilinear models with double long memory, Stoch. Process. Appl. 100, 275--300. [3] Giraitis, L., Leipus, R., Robinson, P.M., Surgailis, D. (2004) LARCH, leverage and long memory, J. Financial Econometrics 2, 177--210. [4] Sentana, E. (1995) Quadratic ARCH models, Rev. Econ. Stud. 3, 77--102. Donatas SURGAILIS. Academy of Sciences, Lithuania. Document associé : support de présentation : http://epi.univ-paris1.fr/servlet/com.univ.collaboratif.utils.LectureFichiergw?CODE_FICHIER=1207750384173 (pdf) Ecouter l'intervention : Bande son disponible au format mp3 Durée : 37 mn