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

O. Lee, D. W. Shin

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)167-173
Number of pages7
JournalEconomics Letters
Volume84
Issue number2
DOIs
StatePublished - 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

  • β-mixing
  • GARCH model
  • Moments
  • Stationarity

Fingerprint

Dive into the research topics of 'Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility'. Together they form a unique fingerprint.

Cite this