Geometric ergodicity and moment conditions for a seasonal GARCH delwithperiodiccoefficients

O. Lee, D. W. Shin

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


A seasonal GARCH process with periodic coefficients is considered and conditions for periodic stationarity, geometric ergodicity, -mixing property with exponential decay rate, and existence of higher-order moments are obtained.

Original languageEnglish
Pages (from-to)38-51
Number of pages14
JournalCommunications in Statistics - Theory and Methods
Issue number1
StatePublished - Jan 2010


  • Geometric ergodicity
  • Higher-order moments
  • Mixing
  • Periodic coefficient
  • Seasonal GARCH (p, q) process
  • Stationarity
  • Uniform countable additivity condition


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