• 제목/요약/키워드: Asymmetric power GARCH (p,q) process

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Geometric ergodicity for the augmented asymmetric power GARCH model

  • Park, S.;Kang, S.;Kim, S.;Lee, O.
    • Journal of the Korean Data and Information Science Society
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    • 제22권6호
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    • pp.1233-1240
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    • 2011

  • An augmented asymmetric power GARCH(p, q) process is considered and conditions for stationarity, geometric ergodicity and ${\beta}$-mixing property with exponential decay rate are obtained.

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