Time Aggregation of Normal Mixture GARCH Models

C. Alexander and E. Lazar (UK)


GARCH process, normal mixture, time aggregation


Normal mixture GARCH models capture the time variation of variance, skewness and kurtosis that characterizes financial data. These models are more flexible and have been shown to offer a better fit than symmetric and asymmetric t-GARCH models. In this paper we give a weak definition for the normal mixture GARCH(1,1) model that is aggregating in time. This result paves the way for the analysis of the continuous time limits of such models.

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