On a geometric ergodicity of conditional autoregressive range model under random environment

This paper proposes a conditional autoregressive range model under random environment (RECARR) which is a generalization of the model of R. Y. Chou (2005). Since the sudden change of the outside environment is considered, this new model behaves more flexible than the original one in the real world. Some sufficient conditions for geometric ergodicity for the CARR model under random environment are obtained.