Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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A STUDY ON GARCH(p, q) PROCESS

  • Lee, Oe-Sook (Department of Statistics Ewha Womans University)
  • Published : 2003.07.01
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Abstract

We consider the generalized autoregressive model with conditional heteroscedasticity process(GARCH). It is proved that if (equation omitted) β/sub i/ < 1, then there exists a unique invariant initial distribution for the Markov process emdedding the given GARCH process. Geometric ergodicity, functional central limit theorems, and a law of large numbers are also studied.

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