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

Oslee Lee, D. W. Shin

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)25-35
Number of pages11
JournalStatistics and Probability Letters
Volume73
Issue number1
DOIs
StatePublished - 1 Jun 2005

Keywords

  • β-Mixing
  • GARCH model
  • Moments
  • Stationarity

Fingerprint

Dive into the research topics of 'On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models'. Together they form a unique fingerprint.

Cite this