MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Marine Carrasco () and
Xiaohong Chen ()
Econometric Theory, 2002, vol. 18, issue 1, 17-39
This paper first provides some useful results on a generalized random coefficient autoregressive model and a generalized hidden Markov model. These results simultaneously imply strict stationarity, existence of higher order moments, geometric ergodicity, and Î²-mixing with exponential decay rates, which are important properties for statistical inference. As applications, we then provide easy-to-verify sufficient conditions to ensure Î²-mixing and finite higher order moments for various linear and nonlinear GARCH(1,1), linear and power GARCH(p,q), stochastic volatility, and autoregressive conditional duration models. For many of these models, our sufficient conditions for existence of second moments and exponential Î²-mixing are also necessary. For several GARCH(1,1) models, our sufficient conditions for existence of higher order moments again coincide with the necessary ones in He and Terasvirta (1999, Journal of Econometrics 92, 173â€“192).
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