Conditionally Heterocedastic Unobserved Component Models and their Reduced Form Articles uri icon

publication date

  • May 2010

start page

  • 88

end page

  • 90

issue

  • 2

volume

  • 107

international standard serial number (ISSN)

  • 0165-1765

electronic international standard serial number (EISSN)

  • 1873-7374

abstract

  • 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.