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http://dx.doi.org/10.5351/CKSS.2007.14.1.141

A Study on Box-Cox Transformed Threshold GARCH(1,1) Process  

Lee, O. (Department of Statistics, Ewha Womans University)
Publication Information
Communications for Statistical Applications and Methods / v.14, no.1, 2007 , pp. 141-146 More about this Journal
Abstract
In this paper, we consider a Box-Cox transformed threshold GARCH(1,1) process and find a sufficient condition under which the process is geometrically ergodic and has the ${\beta}$-mixing property with an exponential decay rate.
Keywords
Box-Cox transform; threshold GARCH; stationarity; geometrically ergotic; beta-mixing;
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