[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2012.19.5.639

Uniform Ergodicity of an Exponential Continuous Time GARCH(p,q) Model

Lee, Oe-Sook (Department of Statistics, Ewha Womans University)

Publication Information

Communications for Statistical Applications and Methods / v.19, no.5, 2012 , pp. 639-646 More about this Journal

Abstract

The exponential continuous time GARCH(p,q) model for financial assets suggested by Haug and Czado (2007) is considered, where the log volatility process is driven by a general L $\acute{e}$ vy process and the price process is then obtained by using the same L $\acute{e}$ vy process as driving noise. Uniform ergodicity and ${\beta}$ -mixing property of the log volatility process is obtained by adopting an extended generator and drift condition.

Keywords

Exponential continuous time GARCH(p,q) model; stationarity; uniform ergodicity; ${\alpha}$ -mixing; ${\beta}$ -mixing;

Citations & Related Records

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