Regnard, Nazim; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2010
A novel GARCH(1,1) model, with coefficients function of the realizations of an exogenous process, is considered for the volatility of daily gas prices. A distinctive feature of the model is that it produces non-stationary solutions. The probability properties, and the convergence and asymptotic...