• 제목/요약/키워드: Exponential continuous time GARCH(p,q) model

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Uniform Ergodicity of an Exponential Continuous Time GARCH(p,q) Model

  • Lee, Oe-Sook
    • Communications for Statistical Applications and Methods
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    • 제19권5호
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    • pp.639-646
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    • 2012
  • The exponential continuous time GARCH(p,q) model for financial assets suggested by Haug and Czado (2007) is considered, where the log volatility process is driven by a general L$\acute{e}$vy process and the price process is then obtained by using the same L$\acute{e}$vy process as driving noise. Uniform ergodicity and ${\beta}$-mixing property of the log volatility process is obtained by adopting an extended generator and drift condition.