Stationarity and geometric ergodicity of a class of nonlinear ARCH models

DOI10.1214/105051606000000565MaRDI QIDQ997428zbMATH OpenOpenAlexFDO

Authors Youssef Saïdi, Jean-Michel Zakoïan

Publication date 6 August 2007

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702419

zbMATH Keywords

ergodicitynonlinear time seriesMarkov chainsthreshold models\(\beta\)-mixingGARCH-type models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

Abstract: A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and $$-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.

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Cited in

(28)

• Regular variation of order 1 nonlinear AR-ARCH models
• ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS
• A model for level induced conditional heteroskedasticity
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