Geometric ergodicity of the multivariate COGARCH(1,1) process

DOI10.1080/17442508.2020.1844704zbMATH Open1500.60045arXiv1701.07859OpenAlexW3108922537MaRDI QIDQ5086715FDOQ5086715

Authors: Robert Stelzer, Johanna Vestweber 

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the finiteness of moments of the stationary distribution by a Foster-Lyapunov drift condition approach. The test functions used are naturally related to the geometry of the cone of positive semi-definite matrices and the drift condition is shown to be satisfied if the drift term of the defining stochastic differential equation is sufficiently `negative'. We show easily applicable sufficient conditions for the needed irreducibility and aperiodicity of the volatility process living in the cone of positive semidefinite matrices, if the driving L'evy process is a compound Poisson process.

Full work available at URL: https://arxiv.org/abs/1701.07859

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zbMATH Keywords

Feller processirreducibilityHarris recurrenceFoster-Lyapunov drift conditionLévy processMUCOGARCHmultivariate stochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25)

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Cited In (4)

• Multivariate COGARCH(1, 1) processes
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• A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes
• Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel

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