Про збіжність GARCH(p,q)
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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| Datum: | 2018 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2018
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| Online Zugang: | http://journal.iasa.kpi.ua/article/view/127965 |
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| Назва журналу: | System research and information technologies |