Blasques, Francisco Koopman, Siem Jan Lucas, Andre
Year of Publication:
Tinbergen Institute Discussion Paper 12-059/4
We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy integral is used to ensure the non-degeneracy of such regions. Furthermore, we show how to obtain bounds for these regions in models for time-varying means, variances, or higher-order moments.
Dudley integral Durations Higher-order models Nonlinear dynamics Time-varying parameters Volatility