For the pth-order linear ARCH model, St = gt~/O{O q-~lXt2\_l q-0~2 X.2\_2 +-.-q-o~pXtLp, where c~0 > 0, c~i~>0, i = 1, 2, ..., p, {et} is an i.i.d, normal white noise with E~, = 0, Ee~ = 1, and et is independent of {X~, s < t}, Engle (1982) obtained the necessary and sufficient condition for the sec
Geometric ergodicity of a general ARCH type model
β Scribed by Zudi Lu
- Publisher
- Springer
- Year
- 1997
- Tongue
- English
- Weight
- 76 KB
- Volume
- 42
- Category
- Article
- ISSN
- 1001-6538
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