ON THE STABILITY OF A HETEROSCEDASTIC PROCESS | Zendy

Weis Andrew A. | Zendy

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ON THE STABILITY OF A HETEROSCEDASTIC PROCESS

Author(s) -

Weis Andrew A.

Publication year - 1986

Publication title -

journal of time series analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.576

H-Index - 54

eISSN - 1467-9892

pISSN - 0143-9782

DOI - 10.1111/j.1467-9892.1986.tb00497.x

Subject(s) - heteroscedasticity , mathematics , econometrics , stability (learning theory) , variance (accounting) , series (stratigraphy) , conditional variance , regression analysis , variable (mathematics) , statistics , autoregressive conditional heteroskedasticity , economics , computer science , biology , volatility (finance) , paleontology , mathematical analysis , accounting , machine learning

. In this paper we derive the stability conditions in a time series regression model with a particular form of conditional heteroscedasticity. The variables affecting the variance include lagged errors, lagged dependent variables and a forecast variable. In addition to the usual stability conditions in a dynamic model, a condition on the parameters of the heteroscedasticity equation is also required.

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