Statistics/Mathematical Economics
A new nonlinear formulation for GARCH models
Comptes Rendus. Mathématique, Volume 351 (2013) no. 5-6, pp. 235-239.

In this note we deduce a new mathematical representation, based on a discrete-time nonlinear state–space formulation, to characterize Generalized AutoRegresive Conditional Heteroskedasticity (GARCH) models. The purpose pursued by this article is to use the models presented herein to develop estimation techniques which are also valid in the situation when observations are missing.

Dans cette note, on déduit une nouvelle représentation mathématique, basée sur une formulation espace–état en temps discret non linéaire, pour caractériser le modèle GARCH. Lʼobjectif poursuivi dans ce travail est dʼutiliser les modèles présentés ici afin de développer des techniques dʼestimation qui soient aussi valables dans des situations où des données sont manquantes.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2013.02.014
Ossandón, Sebastian 1; Bahamonde, Natalia 2

1 Instituto de Matemáticas, Pontificia Universidad Católica de Valparaíso, Casilla 4059, Valparaíso, Chile
2 Instituto de Estadística, Pontificia Universidad Católica de Valparaíso, Casilla 4059, Valparaíso, Chile
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Ossandón, Sebastian; Bahamonde, Natalia. A new nonlinear formulation for GARCH models. Comptes Rendus. Mathématique, Volume 351 (2013) no. 5-6, pp. 235-239. doi : 10.1016/j.crma.2013.02.014. http://www.numdam.org/articles/10.1016/j.crma.2013.02.014/

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