Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

O. Lee; D. W. Shin

doi:10.1016/j.econlet.2003.11.021

Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

O. Lee, D. W. Shin

Department of Statistics

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

5 Scopus citations

Abstract

A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence of higher order moments and β-mixing with exponential decay rates are provided.

Original language	English
Pages (from-to)	167-173
Number of pages	7
Journal	Economics Letters
Volume	84
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2003.11.021
State	Published - Aug 2004

Bibliographical note

Funding Information:
The authors are very grateful for comments of a referee. The first author was supported by a grant from Korea Research Foundation (KRF 2002-015-CP0057).

Keywords

GARCH model
Moments
Stationarity
β-mixing

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10.1016/j.econlet.2003.11.021

Cite this

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title = "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility",

abstract = "A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence of higher order moments and β-mixing with exponential decay rates are provided.",

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

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

note = "Funding Information: The authors are very grateful for comments of a referee. The first author was supported by a grant from Korea Research Foundation (KRF 2002-015-CP0057).",

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AU - Lee, O.

AU - Shin, D. W.

N1 - Funding Information: The authors are very grateful for comments of a referee. The first author was supported by a grant from Korea Research Foundation (KRF 2002-015-CP0057).

PY - 2004/8

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N2 - A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence of higher order moments and β-mixing with exponential decay rates are provided.

AB - A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence of higher order moments and β-mixing with exponential decay rates are provided.

KW - GARCH model

KW - Moments

KW - Stationarity

KW - β-mixing

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U2 - 10.1016/j.econlet.2003.11.021

DO - 10.1016/j.econlet.2003.11.021

M3 - Article

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VL - 84

SP - 167

EP - 173

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

Abstract

Bibliographical note

Keywords

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