A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model

Zudi Lu

Statistics & Probability Letters, 1996, vol. 30, issue 4, 305-311

Abstract: For the pth-order linear ARCH model, , where [alpha]0 > 0, [alpha]i [greater-or-equal, slanted] 0, I = 1, 2, ..., p, {[var epsilon]t} is an i.i.d. normal white noise with E[var epsilon]t = 0, E[var epsilon]t2 = 1, and [var epsilon]t is independent of {Xs, s

Keywords: Geometric; ergodicity; Conditional; heteroscedasticity; ARCH; model; Nonlinear; time; series; Markov; process (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(95)00233-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:30:y:1996:i:4:p:305-311

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().