A NEW GARCH PROCESS WITH HYPERBOLIC NOISE
Languages of publication
In this article the author discusses the application of the hyperbolic (HYP) distributions in modeling of a volatility in the financial and real estate markets. He analyses and builds a new GARCH-type process with hyperbolic noise (the HYP-GARCH (p,q) process). He derives moment structure for this new process and necessary and sufficient conditions for the existence of the unconditional order moments of the strictly stationary and ergodic solution in this process. Moreover, he computes the log likelihood function for the HYP-GARCH(p,q) process in Theorem 5.1 and, at the end, he discusses the quality of the adjustment of the (1,1)-version of the analysed process to the real estate market (empirical) data.
Publication order reference
CEJSH db identifier