Bull. Korean Math. Soc. 2001; 38(3): 495-504
Printed September 1, 2001
Copyright © The Korean Mathematical Society.
Oesook Lee and Jihyun Kim
Ewha Womans University, Ewha Womans University
In this paper we consider the (generalized) autoregressive models with conditional heteroscedasticity (ARCH/GARCH models). We will give conditions under which strict stationarity, ergodicity and the functional central limit theorem hold for the corresponding models.
Keywords: GARCH process, Markov chain, stationarity, ergodicity, functional central limit theorem
MSC numbers: 62M10, 60J10
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