Non-Linear GARCH Models for Highly Persistent Volatility

  title={Non-Linear GARCH Models for Highly Persistent Volatility},
  author={Markku Lanne and Pentti Saikkonen},
  journal={Econometrics eJournal},
In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. [] Key Method U sing the theory of Markov chains we provide sufficient conditions for the stationarity and existence of moments of the considered smooth transition GARCH models and even some more general nonlinear GARCH models. Empirical applications to two exchange rate return series show that the new models can be superior to conventional GARCH models especially in longer term forecasting.

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