On generalized ARCH model with stationary liquidity
Probability
2018-06-25 v1
Abstract
We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary solution. In addition, we provide consistent estimators for the model parameters by using AR(1) type characterisation. We illustrate our results with several examples and simulation studies.
Cite
@article{arxiv.1806.08608,
title = {On generalized ARCH model with stationary liquidity},
author = {Pauliina Ilmonen and Soledad Torres and Ciprian Tudor and Lauri Viitasaari and Marko Voutilainen},
journal= {arXiv preprint arXiv:1806.08608},
year = {2018}
}