Stationarity and β-mixing property of a mixture AR-ARCH models

Oesook Lee

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


We consider a MAR model with ARCH type conditional heteroscedasticity. NIAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity. 3-mixing property and existence of moments of the model are given via Markovian representation technique.

Original languageEnglish
Pages (from-to)813-820
Number of pages8
JournalBulletin of the Korean Mathematical Society
Issue number4
StatePublished - Nov 2006


  • Geometric ergodicity
  • Markov chain
  • Mixture AR-ARCH model
  • Stationarity
  • β-mixing


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