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 |
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Pages (from-to) | 25-35 |
Number of pages | 11 |
Journal | Statistics and Probability Letters |
Volume | 73 |
Issue number | 1 |
DOIs | |
State | Published - 1 Jun 2005 |
Keywords
- β-Mixing
- GARCH model
- Moments
- Stationarity