Comptes Rendus
Probabilités
Propriétés probabilistes des processus GARCH périodiques
[Probabilistic properties of periodic GARCH processes]
Comptes Rendus. Mathématique, Volume 347 (2009) no. 5-6, pp. 299-303.

This Note examines the probabilistic structure of a GARCH-type stochastic difference equation with periodically time-varying parameters. We propose necessary and sufficient conditions ensuring the existence of stationary solutions, geometrically ergodic (in the periodic sense) and having finite higher-order moments.

Cette Note porte sur la structure probabiliste des solutions d'une équation aux différences stochastiques de type GARCH dont les paramètres sont périodiques dans le temps. Nous proposons des conditions nécessaires et suffisantes assurant l'existence de solutions stationnaires, géométriquement ergodiques (au sens périodique) et ayant des moments d'ordre supérieur finis.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2009.01.008

Abdelouahab Bibi 1; Abdelhakim Aknouche 2

1 Département de mathématiques, Université Mentouri, 25000 Constantine, Algeria
2 Faculté de Mathématiques, USTHB, Alger, Algeria
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Abdelouahab Bibi; Abdelhakim Aknouche. Propriétés probabilistes des processus GARCH périodiques. Comptes Rendus. Mathématique, Volume 347 (2009) no. 5-6, pp. 299-303. doi : 10.1016/j.crma.2009.01.008. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2009.01.008/

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