A0239
Title: On spatial generalized autoregressive conditional heteroskedasticity varying coefficient models
Authors: Jingru Mu - Kansas State University (United States) [presenting]
Liying Jin - Kansas State University (United States)
Abstract: A new volatility model is proposed by allowing spatially varying coefficients in spatial generalized autoregressive conditional heteroskedasticity (SGARCH) models. This model captures volatility behaviours over space and investigates the relationship between some explanatory variables and the volatility at each location. A two-stage quasi-likelihood maximization via BPST is developed to estimate the model over a complicated domain. The theoretical properties of the proposed estimators are also presented. Both simulation studies and real-data applications are conducted to demonstrate the performance of our approach.
