Statistical Properties of the Asymmetric Power Arch Process
Working Paper Series in Economics and Finance No 199
22 Pages Posted: 21 Jan 1998
Date Written: September 1997
The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has previously been done empirically. In this paper the same issue is studied theoretically using unconditional fractional moments for the A-PARCH model that are derived for the purpose. The role of the heteroskedasticity parameter of the A-PARCH process is highlighted and compared with corresponding empirical results involving autocorrelation functions of power-transformed absolute-valued return series.
JEL Classification: C22
Suggested Citation: Suggested Citation