Arbeitspapier
A note on the geometric ergodicity of a nonlinear AR-ARCH model
This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q (ARCH(q)) is considered. Conditions under which the Markov chain representation of this nonlinear AR-ARCH model is geometrically ergodic and has moments of known order are provided. The obtained results complement those of Liebscher [Journal of Time Series Analysis, 26 (2005), 669-689] by showing how his approach based on the concept of the joint spectral radius of a set of matrices can be extended to establish geometric ergodicity in nonlinear autoregressions with conventional ARCH(q) errors.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 1003 [rev.]
- Classification
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Wirtschaft
- Subject
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Nichtlineares Verfahren
ARCH-Modell
Markovscher Prozess
Heteroskedastizität
Zeitreihenanalyse
Theorie
- Event
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Geistige Schöpfung
- (who)
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Meitz, Mika
Saikkonen, Pentti
- Event
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Veröffentlichung
- (who)
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TÜSİAD-Koç University Economic Research Forum
- (where)
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Istanbul
- (when)
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2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Meitz, Mika
- Saikkonen, Pentti
- TÜSİAD-Koç University Economic Research Forum
Time of origin
- 2010
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