Journal of Liaoning Petrochemical University
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Quadrant Dependent Property for GARCH Model
GENG Gui-zhen, TONG Yi
Abstract370)      PDF (102KB)(249)      
It proves that the absolute value and square sequences of GARCH process are pairwise PQD sequences. The pairwise positive quadrant dependent property of GARCH model was discussed. Some inequalities of sums of GARCH modelwhich are consistent with conditional heteroskedasticity property of GARCH process is obtained. It is reasonable that using the GARCH model to describe the volatility cluster phenomenon of finance time sequences.
2007, 27 (3): 93-95.