Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (Q3646948)
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scientific article; zbMATH DE number 5640029
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| English | Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes |
scientific article; zbMATH DE number 5640029 |
Statements
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (English)
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27 November 2009
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ARCH(1)
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ergodicity
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squared processes
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autocorrelation function
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0.8653602004051208
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0.8580016493797302
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0.8561179637908936
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0.8479900360107422
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0.8399329781532288
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