Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients |
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| Authors: | O. Lee D. W. Shin |
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| Affiliation: | 1. Department of Statistics , Ewha University , Seoul , Korea oslee@ewha.ac.kr;3. Department of Statistics , Ewha University , Seoul , Korea |
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| Abstract: | A seasonal GARCH process with periodic coefficients is considered and conditions for periodic stationarity, geometric ergodicity, β-mixing property with exponential decay rate, and existence of higher-order moments are obtained. |
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| Keywords: | Geometric ergodicity Higher-order moments β-mixing Periodic coefficient Seasonal GARCH (p, q) process Stationarity Uniform countable additivity condition |
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