Conditionally heteroscedastic unobserved component models and their reduced form |
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| Authors: | Santiago Pellegrini Esther Ruiz Antoni Espasa |
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| Affiliation: | 1. College of Technology Management, National Tsing Hua University, Hsinchu 30013, Taiwan;2. Rutgers Business School, Rutgers University, Piscataway, NJ 08854, U.S.A |
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| Abstract: | The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances. |
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