We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In ...We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.展开更多
基金National Natural Science Foundation of China(No.69874 0 2 8)
文摘We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.
