Strict stationarity of Poisson integer-valued ARCH processes of order infinity

Mawuli Segnon

No 10222, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: This paper establishes necessary and sufficient conditions for the existence of a unique strictly stationary and ergodic solution for integer-valued autoregressive conditional heteroscedasticity (INARCH) processes. We also provide conditions that guarantee existence of higher order moments. The results apply to integer-valued GARCH model, and its long-memory versions with hyperbolically decaying coefficients.

Keywords: INARCH processes; Stationarity; Ergodicity; Lyapunov exponent (search for similar items in EconPapers)
JEL-codes: C1 C4 C5 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2022-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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