Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients

DOI10.1080/03610920802715032zbMath1187.62143OpenAlexW2115131022MaRDI QIDQ5190582

Oesook Lee, Dong-won Shin

Publication date: 18 March 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802715032

zbMATH Keywords

\(\beta\)-mixingstationarityhigher-order momentsseasonal GARCH(p,q) processesuniformly countable additivity condition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (4)

Power periodic threshold GARCH model: Structure and estimation ⋮ A note on integrated periodic \textit{GARCH} processes ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ Estimation and Asymptotic Properties in PeriodicGARCH(1, 1) Models

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