Title :
Stationarity Analysis of a Model for Asymmtric GARCH
Author :
Zhu Min ; Lei Min ; Zhu Yongxiang
Author_Institution :
Coll. of Electr. & Inf. Eng., Hunan Univ. of Technol., Zhuzhou, China
Abstract :
A nonlinear asymmetric GARCH(p, q) model with stochastic delay is considered. Sufficient conditions for stationarity are provided.
Keywords :
autoregressive processes; nonlinear asymmetric GARCH(p,q) model; stationarity analysis; stochastic delay; Delay; Markov processes; Mathematical model; Sufficient conditions; Time series analysis; Yttrium; GARCH model; stationarity; stochastic delay;
Conference_Titel :
Intelligent System Design and Engineering Applications (ISDEA), 2013 Third International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4673-4893-5
DOI :
10.1109/ISDEA.2012.303
