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

O. Lee and D.W. Shin

Statistics & Probability Letters, 2005, vol. 73, issue 1, 25-35

Abstract: 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.

Keywords: GARCH; model; Stationarity; Moments; [beta]-Mixing (search for similar items in EconPapers)
Date: 2005
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