V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model. (English) Zbl 1242.62099
Summary: A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and \(\beta \)-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
Keywords:
continuous time asymmetric power; GARCH(1,1) process; COGARCH(1,1) process; uniform ergodicityReferences:
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