Uniform Ergodicity of an Exponential Continuous Time GARCH(p,q) Model Lee, Oe-Sook;
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 Lvy process and the price process is then obtained by using the same Lvy process as driving noise. Uniform ergodicity and -mixing property of the log volatility process is obtained by adopting an extended generator and drift condition.
Exponential continuous time GARCH(p,q) model;stationarity;uniform ergodicity;-mixing;-mixing;
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