Uniform Ergodicity of an Exponential Continuous Time GARCH(p,q) Model

Title & Authors
Uniform Ergodicity of an Exponential Continuous Time GARCH(p,q) Model
Lee, Oe-Sook;

Abstract
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 L$\small{\acute{e}}$vy process and the price process is then obtained by using the same L$\small{\acute{e}}$vy process as driving noise. Uniform ergodicity and $\small{{\beta}}$-mixing property of the log volatility process is obtained by adopting an extended generator and drift condition.
Keywords
Exponential continuous time GARCH(p,q) model;stationarity;uniform ergodicity;$\small{{\alpha}}$-mixing;$\small{{\beta}}$-mixing;
Language
English
Cited by
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