Communications for Statistical Applications and Methods

  • 제21권4호
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  • Pages.327-334
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  • 2014
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties

  • Lee, O. (Department of Statistics, Ewha Womans University)
  • 투고 : 2014.05.18
  • 심사 : 2014.06.24
  • 발행 : 2014.07.31
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초록

Various modified GARCH(1, 1) models have been found adequate in many applications. We are interested in their continuous time versions and limiting properties. We first define a stochastic integral that includes useful continuous time versions of modified GARCH(1, 1) processes and give sufficient conditions under which the process is exponentially ergodic and ${\beta}$-mixing. The central limit theorem for the process is also obtained.

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참고문헌

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