A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-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.
Publié le : 2006-11-14
Classification:
β-mixing,
ergodicity,
GARCH-type models,
Markov chains,
nonlinear time series,
threshold models,
60G10,
60J05,
62M10,
91B84
@article{1169065224,
author = {Sa\"\i di, Youssef and Zako\"\i an, Jean-Michel},
title = {Stationarity and geometric ergodicity of a class of nonlinear ARCH models},
journal = {Ann. Appl. Probab.},
volume = {16},
number = {1},
year = {2006},
pages = { 2256-2271},
language = {en},
url = {http://dml.mathdoc.fr/item/1169065224}
}
Saïdi, Youssef; Zakoïan, Jean-Michel. Stationarity and geometric ergodicity of a class of nonlinear ARCH models. Ann. Appl. Probab., Tome 16 (2006) no. 1, pp. 2256-2271. http://gdmltest.u-ga.fr/item/1169065224/