A model for level induced conditional heteroskedasticity

Publication date: Available online 15 October 2018Source: Statistics & Probability LettersAuthor(s): Jon Michel, Robert M. de JongAbstractA class of conditional heteroskedasticity models is introduced and analyzed. This class of models is motivated by the desire to allow the level of a GARCH process to influence the volatility. We show the existence of a unique strictly stationary solution which is β-mixing. The analysis of this model does not rely upon Markov chain methods.

Source: Statistics and Probability Letters - October 16, 2018 Category: Statistics Source Type: research