Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

Alexander M. Lindner ()
Additional contact information
Alexander M. Lindner: Institut für Mathematische Stochastik, Technische Universität Braunschweig

Chapter 2 in Handbook of Financial Time Series, 2009, pp 43-69 from Springer

Abstract: Abstract This paper collects some of the well known probabilistic properties of GARCH (p, q) processes. In particular, we address the question of strictly and of weakly stationary solutions. We further investigate moment conditions as well as the strong mixing property of GARCH processes. Some distributional properties such as the tail behaviour and continuity properties of the stationary distribution are also included.

Keywords: Stationary Solution; Spectral Radius; Probabilistic Property; Financial Time Series; Noise Sequence (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_2

Ordering information: This item can be ordered from
http://www.springer.com/9783540712978

DOI: 10.1007/978-3-540-71297-8_2

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().