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http://dx.doi.org/10.5351/CSAM.2014.21.4.327

Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties

Lee, O. (Department of Statistics, Ewha Womans University)

Publication Information

Communications for Statistical Applications and Methods / v.21, no.4, 2014 , pp. 327-334 More about this Journal

Abstract

Various modified GARCH(1, 1) models have been found adequate in many applications. We are interested in their continuous time versions and limiting properties. We first define a stochastic integral that includes useful continuous time versions of modified GARCH(1, 1) processes and give sufficient conditions under which the process is exponentially ergodic and ${\beta}$ -mixing. The central limit theorem for the process is also obtained.

Keywords

Exponential ergodicity; diffusion limit; L $\acute{e}$ vy-driven volatility process; modified GARCH(1, 1) process; central limit theorem;

Citations & Related Records

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