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Title: Some statistical results on autoregressive conditionally heteroscedastic models
Authors: Gonçalves, Esmeralda 
Lopes, Nazaré Mendes 
Keywords: Conditionally heteroscedastic time series; White noise, stationarity; Arma models; Forecasting
Issue Date: 1998
Citation: Journal of Statistical Planning and Inference. 68:1 (1998) 193-202
Abstract: The aim of this paper is to present some statistical aspects of an order 1 autoregressive model with errors following a stationary and ergodic generalized threshold ARCH process. So, to analyse the precision of forecasts obtained with these models a probabilistic study will be done. Moreover, a consistent test for a general AR(1) model with errors following an ergodic white noise of null conditional median will be developed and adapted to our stochastic process.
Rights: openAccess
Appears in Collections:FCTUC Matemática - Artigos em Revistas Internacionais

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