engleski

Functional limit theorem for GARCH processes

We show that for a strictly stationary, weakly dependent and regularly varying sequence of random variables, the properly centered partial sum process converges to a stable Levy process in the space D[0, 1] endowed with Skorohod's M_1 topology. This general result is then applied to GARCH processes.

GARCH process; functional limit theroem; regular variation

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