Mikosch, Thomas; Straumann, Daniel - In: Stochastic Processes and their Applications 100, 1-2, pp. 187-222
The squares of a GARCH(p,q) process satisfy an ARMA equation with white noise innovations and parameters which are derived from the GARCH model. Moreover, the noise sequence of this ARMA process constitutes a strongly mixing stationary process with geometric rate. These properties suggest to...