Absolute regularity of semi-contractive GARCH-type processes
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Publication:4968513
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.
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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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