RT Generic
T1 The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances
A1 Pellegrini, Santiago
A1 Ruiz Ortega, Esther
A1 Espasa, Antoni
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH modelsto series generated by conditionally heteroscedastic unobserved component models. Focusingon the local level model, we show that the heteroscedasticity is weaker in the ARIMA than inthe local level disturbances. In certain cases, the IMA(1,1) model could even be wrongly seenas homoscedastic. Next, with regard to forecasting performance, we show that the predictionintervals based on the ARIMA model can be inappropriate as they incorporate the unit rootwhile the intervals of the local level model can converge to the homoscedastic intervals whenthe heteroscedasticity appears only in the transitory noise. All the analytical results areillustrated with simulated and real time series.
YR 2007
FD 2007-04
LK https://hdl.handle.net/10016/693
UL https://hdl.handle.net/10016/693
LA eng
LA eng
DS e-Archivo
RD 1 sept. 2024