SEMINARS
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Fall 2004
STATISTICS
COLLOQUIUM
Friday, October 29, 2004
2:30-3:00—Refreshments
3:00-4:00—Talk
Yost Hall, Room 300
Lajos Horvath
University of Utah, Department of Mathematics
Theory of Applications of GARCH and Related Processes Analysis
Several modifications of the popular GARCH model have been suggested in the literature. We discuss the probabilistic properties of augmented GARCH processes. The emprical correlation function slowly decreasing in case of several data sets. This fact can be caused by change in the parameters of the process or by long--range dependence in the observations. We provide a method how to distinguish between change--points and long--range dependence. Special attention will be paid to sequential methods
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