On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models

Oslee Lee; D. W. Shin

doi:10.1016/j.spl.2005.02.011

On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models

Oslee Lee, D. W. Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

Certain types of nonlinear GARCH (p, q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and β-mixing with exponential decay rates are provided.

Original language	English
Pages (from-to)	25-35
Number of pages	11
Journal	Statistics and Probability Letters
Volume	73
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2005.02.011
State	Published - 1 Jun 2005

Keywords

β-Mixing
GARCH model
Moments
Stationarity

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10.1016/j.spl.2005.02.011

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title = "On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models",

abstract = "Certain types of nonlinear GARCH (p, q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and β-mixing with exponential decay rates are provided.",

keywords = "β-Mixing, GARCH model, Moments, Stationarity",

author = "Oslee Lee and Shin, {D. W.}",

note = "Funding Information: This work was supported by Grant R06-2002-012-01002-0 from Basic Research Program of the Korea Science and Engineering Foundation. ",

year = "2005",

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AU - Lee, Oslee

AU - Shin, D. W.

N1 - Funding Information: This work was supported by Grant R06-2002-012-01002-0 from Basic Research Program of the Korea Science and Engineering Foundation.

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N2 - Certain types of nonlinear GARCH (p, q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and β-mixing with exponential decay rates are provided.

AB - Certain types of nonlinear GARCH (p, q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and β-mixing with exponential decay rates are provided.

KW - β-Mixing

KW - GARCH model

KW - Moments

KW - Stationarity

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U2 - 10.1016/j.spl.2005.02.011

DO - 10.1016/j.spl.2005.02.011

M3 - Article

AN - SCOPUS:18144371581

SN - 0167-7152

VL - 73

SP - 25

EP - 35

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 1

ER -

On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models

Abstract

Keywords

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