On the probabilistic structure of power threshold generalized arch stochastic processes
The aim of this paper is to develop a probabilistic study on a large and general class of conditionally heteroscedastic models, namely the δ-TGARCH processes. For this class of processes we establish necessary and sufficient conditions of strict stationarity, ergodicity and existence of moments. A discussion on the weak stationarity of an associated vectorial process, moments and weak stationarity up to the order δ of those processes is also presented. Finally, the minimal representation of a δ-TGARCH process is obtained developing, in a unique way, the corresponding conditional moment of order δ in terms of present and past observations.
Volume (Year): 82 (2012)
Issue (Month): 8 ()
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EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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