On the structure of generalized threshold arch processes

E. Gonçalves and N. Mendes-Lopes

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 573-580

Abstract: The aim of this paper is to develop probabilistic studies, useful for applications, namely in what concerns the implementation and validation of subsequent statistical methods. More precisely, we establish new conditions on the stationarity and ergodicity of the GTARCH model and obtain a unique representation of its conditional volatility in terms of present and past observations. A minimal definition of a GTARCH process is then deduced.

Date: 2010
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