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2013 Geometric ergodicity of asymmetric volatility models with stochastic parameters
Neelabh Rohan, T. V. Ramanathan
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Electron. J. Probab. 18: 1-12 (2013). DOI: 10.1214/EJP.v18-1871

Abstract

In this paper, we consider a general family of asymmetric volatility models with stationary and ergodic coefficients. This family can nest several non-linear asymmetric GARCH models with stochastic parameters into its ambit. It also generalizes Markov-switching GARCH and GJR models. The geometric ergodicity of the proposed process is established. Sufficient conditions for stationarity and existence of moments have also been investigated. Geometric ergodicity of various volatility models with stochastic parameters has been discussed as special cases.

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Neelabh Rohan. T. V. Ramanathan. "Geometric ergodicity of asymmetric volatility models with stochastic parameters." Electron. J. Probab. 18 1 - 12, 2013. https://doi.org/10.1214/EJP.v18-1871

Information

Accepted: 21 October 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1291.60145
MathSciNet: MR3126573
Digital Object Identifier: 10.1214/EJP.v18-1871

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