Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271): Difference between revisions

ARCH(\(\infty\)) processes are introduced via a recursive definition, and their autocorrelation functions are shown to satisfy a discrete time Volterra equation. Using this fact, it is shown that the subexponential decay rate, resp. subexponential bounds, for the coefficients in this Volterra recursion imply the same for the autocorrelation sequence itself, and vice versa. Examples and comparison with existing results are also included.