논문KCI 등재
A study on GARCH$(p,q)$ process
대한수학회 (The Korean Mathematical Society)|2003.07|대한수학회논문집 (Communications of the KMS)|제18권 제3호|pp. 541-550
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Abstract
We consider the generalized autoregressive model with conditional heteroscedasticity process(GARCH). It is proved that if $\sum_{i=1}^q \al_i \sigma^2+ \sum_{i=1}^p \be_i <1$, then there exists a unique invariant initial distribution for the Markov process emdedding the given GARCH process. Geometric ergodicity, functional central limit theorems, and a law of large numbers are also studied.
관련 논문AI추천
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