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

• Lee, Oe-Sook (Department of Statistics, Ewha Womans University)
• Accepted : 2012.07.16
• Published : 2012.09.30

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$\acute{e}$vy process and the price process is then obtained by using the same L$\acute{e}$vy process as driving noise. Uniform ergodicity and ${\beta}$-mixing property of the log volatility process is obtained by adopting an extended generator and drift condition.

Acknowledgement

Supported by : NRF

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