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On GARCH(p,q) convergence

The paper deals with symmetric GARCH(p,q) model. Assuming that there exists defined by this model stationary time series, we have proposed the necessary and sufficient condition for exponential mean square convergence of any stochastic recurrent procedure satisfying this model to the above stationar...

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Bibliographic Details
Main Authors: Carkovs, J., Gutmanis, N.
Format: Article
Language:English
Published: Навчально-науковий комплекс "Інститут прикладного системного аналізу" НТУУ "КПІ" МОН та НАН України 2007
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Online Access:http://dspace.nbuv.gov.ua/handle/123456789/13887
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