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http://dx.doi.org/10.4134/CKMS.2003.18.3.541

A STUDY ON GARCH(p, q) PROCESS  

Lee, Oe-Sook (Department of Statistics Ewha Womans University)
Publication Information
Communications of the Korean Mathematical Society / v.18, no.3, 2003 , pp. 541-550 More about this Journal
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.
Keywords
ARCH/GARCH model; Markov chain; irreducibility; geometric ergodicity; functional central limit theorem;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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