Statistical Properties of the Asymmetric Power Arch Process

Working Paper Series in Economics and Finance No 199

22 Pages Posted: 21 Jan 1998

See all articles by Changli He

Changli He

Stockholm School of Economics - Department of Economic Statistics

Timo Teräsvirta

Stockholm School of Economics - Department of Economics

Date Written: September 1997

Abstract

The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has previously been done empirically. In this paper the same issue is studied theoretically using unconditional fractional moments for the A-PARCH model that are derived for the purpose. The role of the heteroskedasticity parameter of the A-PARCH process is highlighted and compared with corresponding empirical results involving autocorrelation functions of power-transformed absolute-valued return series.

JEL Classification: C22

Suggested Citation

He, Changli and Teräsvirta, Timo, Statistical Properties of the Asymmetric Power Arch Process (September 1997). Working Paper Series in Economics and Finance No 199, Available at SSRN: https://ssrn.com/abstract=54545 or http://dx.doi.org/10.2139/ssrn.54545

Changli He (Contact Author)

Stockholm School of Economics - Department of Economic Statistics ( email )

P.O. Box 6501
S-113 83 Stockholm
Sweden
+46 8 736 9236 (Phone)

Timo Teräsvirta

Stockholm School of Economics - Department of Economics ( email )

P.O. Box 6501
Sveavagen 65
S-113 83 Stockholm
Sweden

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