GARCH-extended models: theoretical properties and applications

Abstract

This paper is concerned with some properties of the generalized GARCH models, obtained by extending GARCH models with exogenous variables, the so-called GARCH extended (GARCHX) models. For these, we establish sufficient conditions for some properties such as stationarity, existence of moments, ergodicity, geometric ergodicity, consistence and asymptotic normality of likelihood estimators of the model parameters. For some of these properties we show that the conditions that we propose are also necessary. We further provide examples and applications to illustrate and highlight the importance of our findings.