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B0737
Title: Strict stationarity, persistence and volatility forecasting in ARCH($\infty$) processes Authors:  James Davidson - University of Exeter (United Kingdom)
Xiaoyu Li - University of Exeter (China) [presenting]
Abstract: A simple sufficient condition is derived for strict stationarity in the ARCH($\infty$) class of processes with conditional heteroscedasticity. The concept of persistence in these processes is explored, and is the subject of a set of simulations showing how persistence depends on both the pattern of lag coefficients of the ARCH model and the distribution of the driving shocks. The results are used to argue that an alternative to the usual method of ARCH/GARCH volatility forecasting should be considered.