Absolute regularity of semi-contractive GARCH-type processes

DOI10.1017/JPR.2019.8zbMATH Open1418.60029arXiv1711.04282OpenAlexW2963481621MaRDI QIDQ4968513FDOQ4968513

Authors: Paul Doukhan, Michael H. Neumann 

Publication date: 15 July 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: We prove existence and uniqueness of a stationary distribution and absolute regularity for nonlinear GARCH and INGARCH models of order (p,q). In contrast to previous work we impose, besides a geometric drift condition, only a semi-contractive condition which allows us to include models which would be ruled out by a fully contractive condition. This results in a subgeometric rather than the more usual geometric decay rate of the mixing coefficients. The proofs are heavily based on a coupling of two versions of the processes.We prove existence and uniqueness of a stationary distribution and absolute regularity for nonlinear GARCH and INGARCH models of order (p,q). In contrast to previous work we impose, besides a geometric drift condition, only a semi-contractive condition which allows us to include models which would be ruled out by a fully contractive condition. This results in a subgeometric rather than the more usual geometric decay rate of the mixing coefficients. The proofs are heavily based on a coupling of two versions of the processes. An extension of our results to non-stationary time series is also provided and we discuss some applications.

Full work available at URL: https://arxiv.org/abs/1711.04282

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zbMATH Keywords

GARCHmixingcouplingabsolute regularityINGARCH

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (12)

• A Dynamic Taylor’s law
• Consistency of a nonparametric least squares estimator in integer-valued GARCH models
• Softplus beta negative binomial integer-valued GARCH model
• Count and duration time series with equal conditional stochastic and mean orders
• Mixing properties of integer-valued GARCH processes
• Softplus INGARCH Model
• Stationarity and ergodic properties for some observation-driven models in random environments
• Bootstrap for integer‐valued GARCH(p, q) processes
• A log-linear model for non-stationary time series of counts
• On Eagleson's theorem in the non-stationary setup
• Mixing properties of non-stationary INGARCH(1, 1) processes
• Soft-clipping INGARCH models for time series of bounded counts

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