A GARCH model with random parameters

MaRDI QIDQ3641383zbMATH OpenFDO

Authors Junhong Miao, Honggang Kou

Publication date 11 November 2009

zbMATH Keywords

adjoint geometric ergodicityirreducibleMarkov chainsmall set

Mathematics Subject Classification ID

Processes in random environments (60K37) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• A Skellam GARCH model
• Influence of deterministic trend on the estimated parameters of GARCH(1,1) model
• Varying Coefficient GARCH Models
• A random parameter AACD model and its geometric ergodicity

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