非对称稳定幂GARCH的严平稳性与解的唯一性

On the Strict Stationarity and the Uniqueness of Solution of the Asymmetric Stable Power-GARCH Model

平稳性是研究时间序列的重要条件,本文讨论一个扰动项为非对称稳定幂GARCH过程的模型的严平稳性与解的唯一性,并给出严平稳性与解存在的充要条件.

Stationarity is an important properity in the research of the time scries. In this paper, we discuss the strict Stationarity and the uniqueness of solution of a model with disturbance item obeys asymmetric power general autoregrcssive conditional heteroskedasticity process, and give the sufficient and necessary conditions for its Stationarity and existence of solution.