Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2006
initial distributions. In this paper
we give conditions under which the Markov chain associated with our AR–GARCH model is
Q … references therein). The conditional variance may be specified as the
linear GARCH model of Bollerslev (1986) or even a GARCH …
bracketrightBig′
.As will be
seen in Section 4, this holds for the standard linear GARCH model and even for some nonlinear
GARCH …