MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
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- 1 February 2002
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 18 (1) , 17-39
- https://doi.org/10.1017/s0266466602181023
Abstract
This paper first provides some useful results on a generalized random coefficient autoregressive model and a generalized hidden Markov model. These results simultaneously imply strict stationarity, existence of higher order moments, geometric ergodicity, and β-mixing with exponential decay rates, which are important properties for statistical inference. As applications, we then provide easy-to-verify sufficient conditions to ensure β-mixing and finite higher order moments for various linear and nonlinear GARCH(1,1), linear and power GARCH(p,q), stochastic volatility, and autoregressive conditional duration models. For many of these models, our sufficient conditions for existence of second moments and exponential β-mixing are also necessary. For several GARCH(1,1) models, our sufficient conditions for existence of higher order moments again coincide with the necessary ones in He and Terasvirta (1999, Journal of Econometrics 92, 173–192).Keywords
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