On stationarity and [beta]-mixing property of certain nonlinear GARCH(p,q) models

Certain types of nonlinear GARCH (p,q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and [beta]-mixing with exponential decay rates are provided.

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Year of publication:	2005
Authors:	Lee, O. ; Shin, D.W.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 1, p. 25-35
Publisher:	Elsevier
Subject:	GARCH model Stationarity Moments [beta]-Mixing

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223869