• 제목/요약/키워드: double threshold ARCH

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STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS

  • Lee, Oe-Sook
    • 대한수학회보
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    • 제43권4호
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    • pp.813-820
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    • 2006
  • We consider a MAR model with ARCH type conditional heteroscedasticity. MAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity, ${\beta}-mixing$ property and existence of moments of the model are given via Markovian representation technique.