Comparison Results for GARCH Processes
Keyword(s):
We consider the problem of stochastic comparison of general GARCH-like processes for different parameters and different distributions of the innovations. We identify several stochastic orders that are propagated from the innovations to the GARCH process itself, and we discuss their interpretations. We focus on the convex order and show that in the case of symmetric innovations it is also propagated to the cumulated sums of the GARCH process. More generally, we discuss multivariate comparison results related to the multivariate convex and supermodular orders. Finally, we discuss ordering with respect to the parameters in the GARCH(1, 1) case.
Keyword(s):
1998 ◽
Vol 35
(2)
◽
pp. 348-370
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Keyword(s):
2007 ◽
Vol 44
(03)
◽
pp. 571-585
◽
2017 ◽
Vol 54
(1)
◽
pp. 134-145
◽
2007 ◽
Vol 44
(3)
◽
pp. 571-585
◽
1997 ◽
Vol 34
(02)
◽
pp. 420-425
◽
2021 ◽
pp. 1-23
Keyword(s):
1998 ◽
Vol 35
(02)
◽
pp. 348-370
◽
Keyword(s):