Regular variation of order 1 nonlinear AR-ARCH models

Daren B.H. Cline

Stochastic Processes and their Applications, 2007, vol. 117, issue 7, 840-861

Abstract: We prove both geometric ergodicity and regular variation of the stationary distribution for a class of nonlinear stochastic recursions that includes nonlinear AR-ARCH models of order 1. The Lyapounov exponent for the model, the index of regular variation and the spectral measure for the regular variation all are characterized by a simple two-state Markov chain.

Keywords: ARCH; Ergodicity; Regular; variation; Stationary; distribution; Stochastic; recursion (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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