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On stationarity and [beta]-mixing property of certain nonlinear GARCH(p,q) models

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  • Lee, O.
  • Shin, D.W.

Abstract

Certain types of nonlinear GARCH (p,q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and [beta]-mixing with exponential decay rates are provided.

Suggested Citation

  • Lee, O. & Shin, D.W., 2005. "On stationarity and [beta]-mixing property of certain nonlinear GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 25-35, June.
    • Handle: RePEc:eee:stapro:v:73:y:2005:i:1:p:25-35
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    References listed on IDEAS

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    1. Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
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