Article ID Journal Published Year Pages File Type
1152655 Statistics & Probability Letters 2010 8 Pages PDF
Abstract
The aim of this paper is to develop probabilistic studies, useful for applications, namely in what concerns the implementation and validation of subsequent statistical methods. More precisely, we establish new conditions on the stationarity and ergodicity of the GTARCH model and obtain a unique representation of its conditional volatility in terms of present and past observations. A minimal definition of a GTARCH process is then deduced.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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