Mathematics – Statistics Theory
Scientific paper
2008-05-15
Bernoulli 2008, Vol. 14, No. 2, 543-561
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.3150/07-BEJ120 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti
Scientific paper
10.3150/07-BEJ120
The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH processes, it contains exponential GARCH, power GARCH, threshold GARCH, asymmetric GARCH, etc. In this paper, we study the probabilistic structure of augmented $\mathrm {GARCH}(1,1)$ sequences and the asymptotic distribution of various functionals of the process occurring in problems of statistical inference. Instead of using the Markov structure of the model and implied mixing properties, we utilize independence properties of perturbed GARCH sequences to directly reduce their asymptotic behavior to the case of independent random variables. This method applies for a very large class of functionals and eliminates the fairly restrictive moment and smoothness conditions assumed in the earlier theory. In particular, we derive functional CLTs for powers of the augmented GARCH variables, derive the error rate in the CLT and obtain asymptotic results for their empirical processes under nearly optimal conditions.
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