대한수학회논문집 (Communications of the Korean Mathematical Society)

  • 제18권3호
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  • Pages.541-550
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  • 2003
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  • 1225-1763(pISSN)
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  • 2234-3024(eISSN)
대한수학회 (Korean Mathematical Society)
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A STUDY ON GARCH(p, q) PROCESS

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

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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참고문헌

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피인용 문헌

  1. Geometric ergodicity and β-mixing property for a multivariate CARR model vol.100, pp.1, 2008, https://doi.org/10.1016/j.econlet.2007.12.002
  2. DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS vol.32, pp.03, 2016, https://doi.org/10.1017/S0266466614000942