Asymptotics for semi-strong augmented GARCH(1,1) model

Oesook Lee, Jooyoung Kim

Research output: Contribution to journalArticlepeer-review


In this article, we study a family of so-called semi-strong augmented GARCH(1,1) model where the innovation process is strictly stationary and mixing instead of independent and identically distributed. We give a necessary and sufficient condition for stationarity of the process and study the functional central limit theorems for (Formula presented.) and ut when the process is stationary. We also investigate the dynamic behavior of semi-strong GARCH(1,1) model when it is non stationary.

Original languageEnglish
Pages (from-to)8093-8109
Number of pages17
JournalCommunications in Statistics - Theory and Methods
Issue number23
StatePublished - 2022

Bibliographical note

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© 2021 Taylor & Francis Group, LLC.


  • -mixing
  • L -NED
  • Semi-strong augmented GARCH(1,1) model
  • functional central limit theorem
  • α-mixing


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