Stationarity and geometric ergodicity of a class of nonlinear ARCH models
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Publication:997428
DOI10.1214/105051606000000565zbMATH Open1121.60033arXivmath/0702419OpenAlexW2043773425MaRDI QIDQ997428FDOQ997428
Authors: Youssef Saïdi, Jean-Michel Zakoïan 
Publication date: 6 August 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/math/0702419
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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)
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Cited In (24)
- ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS
- Regular variation of order 1 nonlinear AR-ARCH models
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A model for level induced conditional heteroskedasticity
- A note on the geometric ergodicity of a nonlinear AR-ARCH model
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- A Class of Nonlinear Arch Models
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- STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
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