Year: 2021
Type: preprint
Abstract: We show that signed power transforms of some ARCH-type processes give ARCH-type processes. The class of ARCH-type models for which this property holds contains many common ARCH and GARCH models. The results can be useful in testing for white noise when fourth moments don't exist and detecting white noise that is not ARCH-type.
Source: arXiv (Cornell University)
Authors: Boshnakov, Georgi N., Ravagli, Davide
Institution: University of Manchester
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3204942236
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