一类广义的非对称的GARCH模型的严平稳遍历性

On the Strictly Stationary Property and the Ergodicity of a generalized Asymmetric GARCH Model

本文讨论了一类广义的非对称的GARCH模型的严平稳遍历性,给出了该模型有唯一平稳遍历解的充要条件,并得到在一定条件下该模型有唯一平稳遍历解的一个必要条件。

We discuss the strictly stationary property and the ergodicity of a generalized asymmetric general autoregressive Conditional Hereroskedasicity in the paper, and give the sufficient and necessary condition for its a unique strictly stationary ergodic solution. A necessary condition is also derived for its a unique strictly stationary ergodic solution under some condition.