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Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

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  • Stelios Arvanitis
  • Antonis Demos

Abstract

. In this paper we consider the time series dependence, stationarity, and higher moments issues of a family of first‐order conditionally heteroskedastic in mean models with a possibly time‐varying mean parameter. The interest in these models lies in the fact that economic theory and physics often require the connection between the first and second conditional moments of time series. Our results reveal important properties of these models, which are consistent with stylized facts in financial and turbulence data sets. They can also be employed for model identification, estimation, and testing.

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  • Stelios Arvanitis & Antonis Demos, 2004. "Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 1-25, January.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:1:p:1-25
    DOI: 10.1046/j.0143-9782.2003.01771.x
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    Cited by:

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    2. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
    3. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
    4. Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    6. Pelagatti Matteo M, 2009. "Modelling Good and Bad Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-20, March.
    7. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    8. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
    9. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.
    10. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.

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