一类GARCH-M模型的遍历性研究

Ergodicity Study for a GARCH-M Type Model

  • 摘要: 针对Christensen等(2012)提出的一类GARCH-M模型, 本文对该模型的遍历性进行了研究. 通过对模型的条件均值函数和GARCH方程的参数加以适当的约束条件, 模型的几何遍历性可以得到证明. 本文的结果可以运用到一些常见GARCH-M模型的条件均值上去.

     

    Abstract: This paper studies the ergodicity of a GARCH-M type model considered by Christensen et al.(2012). By adopting certain restrictions on mean function and parameters in GARCH equation, geometric ergodicity of the model is proved. The obtained results can be applied to usual conditional mean functions of the GARCH-M models.

     

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