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Conditionally heteroscedastic unobserved component models and their reduced form

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URI: https://hdl.handle.net/10016/15748
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2009.12.034
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conditionally_ruiz_EL_2010_ps.pdf (388.24 KB)
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2010
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Elsevier
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The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.
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State space models, Non-Gaussian distributions, Excess kurtosis, Autocorrelations of squares
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Economics Letters, 2010, v. 107, n. 2, pp. 88-90
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