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arXiv · 1806.08608

On generalized ARCH model with stationary liquidity

Pauliina Ilmonen·Soledad Torres·Ciprian Tudor·Lauri Viitasaari·Marko Voutilainen
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Abstract

We study a generalized ARCH model with liquidity given by a general stationary process. We provide minimal assumptions that ensure the existence and uniqueness of the stationary solution. In addition, we provide consistent estimators for the model parameters by using AR(1) type characterisation. We illustrate our results with several examples and simulation studies.

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Pauliina Ilmonen, Soledad Torres, Ciprian Tudor, Lauri Viitasaari, Marko Voutilainen. 2018-06-22. On generalized ARCH model with stationary liquidity. https://arxiv.org/abs/1806.08608

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