Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model
时变参数随机波动率均值模型的矩与动态结构
This paper introduces and discusses some of the statistical properties of a time-varying parameter stochastic volatility (SV) in mean model. We derive the autocovariance function of an observed series, under the assumption that the conditional variance follows a flexible parameterization, which nests the autoregressive SV and the exponential GARCH specifications. Furthermore, the mean parameter can be time varying. We also present the autocovariance functions of higher…