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A STUDY ON GARCH(p, q) PROCESS
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 Title & Authors
A STUDY ON GARCH(p, q) PROCESS
Lee, Oe-Sook;
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 Abstract
We consider the generalized autoregressive model with conditional heteroscedasticity process(GARCH). It is proved that if (equation omitted) β/sub i/ < 1, then there exists a unique invariant initial distribution for the Markov process emdedding the given GARCH process. Geometric ergodicity, functional central limit theorems, and a law of large numbers are also studied.
 Keywords
ARCH/GARCH model;Markov chain;irreducibility;geometric ergodicity;functional central limit theorem;
 Language
English
 Cited by
1.
DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS, Econometric Theory, 2016, 32, 03, 740  crossref(new windwow)
2.
Geometric ergodicity and β-mixing property for a multivariate CARR model, Economics Letters, 2008, 100, 1, 111  crossref(new windwow)
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