Ergodicity Study for a GARCH-M Type Model

Zhang Xingfa, Li Yuan. Ergodicity Study for a GARCH-M Type Model[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(3): 247-253.

Citation:

Zhang Xingfa, Li Yuan. Ergodicity Study for a GARCH-M Type Model[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(3): 247-253.

Citation:

Zhang Xingfa, Li Yuan. Ergodicity Study for a GARCH-M Type Model[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(3): 247-253.

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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