Stationarity and geometric ergodicity of a class of nonlinear ARCH models

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.

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Year of publication:	2006
Authors:	Saidi, Youssef ; Zakoian, Jean-Michel
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	β-mixing \| ergodicity \| GARCH-type models \| Markov chains \| nonlinear time series \| threshold models

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in The Annals of Applied Probability 16.4(2006): pp. 2256-2271
Classification:	C1 - Econometric and Statistical Methods: General ; C22 - Time-Series Models ; C5 - Econometric Modeling ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011167230