Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Geometric ergodicity for the augmented asymmetric power GARCH model

  • Park, S. (Department of Statistics, Ewha Womans University) ;
  • Kang, S. (Department of Statistics, Ewha Womans University) ;
  • Kim, S. (Department of Statistics, Ewha Womans University) ;
  • Lee, O. (Department of Statistics, Ewha Womans University)
  • Received : 2011.10.04
  • Accepted : 2011.11.05
  • Published : 2011.12.01
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Abstract

An augmented asymmetric power GARCH(p, q) process is considered and conditions for stationarity, geometric ergodicity and ${\beta}$-mixing property with exponential decay rate are obtained.

Keywords

References

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