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Multimodality in the GARCH Regression Models.

Abstract:

It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean. Maximum likelihood estimates at the local and global modes are investigated and turn out to be qualitatively different, leading to different model-based forecast intervals. In the simpler GARCH(p,q) regression model, we derive...

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Publisher:
Nuffield College (University of Oxford)
Series:
Economics Working Papers
Publication date:
2003-01-01
UUID:
uuid:ce3c06c8-1d00-4f88-9090-686a1ed71741
Local pid:
oai:economics.ouls.ox.ac.uk:12657
Deposit date:
2011-08-15

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