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A Study on Box-Cox Transformed Threshold GARCH(1,1) Process

Lee, O.

  • Published : 2007.04.30

Abstract

In this paper, we consider a Box-Cox transformed threshold GARCH(1,1) process and find a sufficient condition under which the process is geometrically ergodic and has the ${\beta}$-mixing property with an exponential decay rate.

Keywords

Box-Cox transform;threshold GARCH;stationarity;geometrically ergotic;beta-mixing

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