Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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On geometric ergodicity and ${\beta}$-mixing property of asymmetric power transformed threshold GARCH(1,1) process

  • Lee, Oe-Sook (Department of Statistics, Ewha Womans University)
  • Received : 2011.01.28
  • Accepted : 2011.03.14
  • Published : 2011.03.31
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Abstract

We consider an asymmetric power transformed threshold GARCH(1.1) process and find sufficient conditions for the existence of a strictly stationary solution, geometric ergodicity and ${\beta}$-mixing property. Moments conditions are given. Box-Cox transformed threshold GARCH(1.1) is also considered as a special case.

Keywords

References

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