自适应实现双曲GARCH过程：稳定性与估计
Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation
摘要：
在本文中，我们提出了一个自适应实现的双曲高斯过程（A-Realized HYGARCH）的高频时间序列可能的结构突变的长记忆模型。通过允许截距遵循Gallant（1984）引入的平滑和灵活的函数形式来模拟结构变化。此外，该过程的稳定性条件进行了研究。一个蒙特卡罗研究，以说明性能的A-实现HYGSTABILITY过程相比，实现HYGSTABILITY有或没有结构变化。
英文摘要：
In this paper, we propose an Adaptive Realized Hyperbolic GARCH (A-Realized HYGARCH) process to model the long memory of high-frequency time series with possible structural breaks. The structural change is modeled by allowing the intercept to follow the smooth and flexible function form introduced by Gallant (1984). In addition, stability conditions of the process are investigated. A Monte Carlo study is investigated in order to illustrate the performance of the A-Realized HYGARCH process compared to the Realized HYGARCH with or without structural change.
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