A note on the geometric ergodicity of a nonlinear AR-ARCH model

Mika Meitz () and Pentti Saikkonen

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 631-638

Abstract: This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q (ARCH(q)) is considered. Conditions under which the Markov chain representation of this nonlinear AR-ARCH model is geometrically ergodic and has moments of known order are provided. The obtained results complement those of Liebscher [Liebscher, E., 2005. Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes, Journal of Time Series Analysis, 26, 669-689] by showing how his approach based on the concept of the joint spectral radius of a set of matrices can be extended to establish geometric ergodicity in nonlinear autoregressions with conventional ARCH(q) errors.

Date: 2010
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Working Paper: A note on the geometric ergodicity of a nonlinear AR–ARCH model (2010)
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