On the short term stability of financial ARCH price processes

@article{Zumbach2021OnTS,
  title={On the short term stability of financial ARCH price processes},
  author={Gilles Zumbach},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2021}
}
  • G. Zumbach
  • Published 14 July 2021
  • Economics
  • Capital Markets: Asset Pricing & Valuation eJournal
For many financial applications, it is important to have reliable and tractable models for the behavior of assets and indexes, for example in risk evaluation. A successful approach is based on ARCH processes, which strike the right balance between statistical properties and ease of computation. This study focuses on quadratic ARCH processes and the theoretical conditions to have a stable long-term behavior. In particular, the weights for the variance estimators should sum to 1, and the variance… 
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