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Activity Number: 480
Type: Contributed
Date/Time: Wednesday, August 9, 2006 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #305594
Title: Stability and Tail Properties of Nonlinear Stochastic Recursions with Application to Nonlinear AR-GARCH Models
Author(s): Daren B. H. Cline*+
Companies: Texas A&M University
Address: Department of Statistics, College Station, TX, 77843-3143,
Keywords: GARCH ; ergodicity ; nonlinear stochastic recursion ; regular variation
Abstract:

We characterize the Lyapounov exponent and ergodicity of nonlinear stochastic recursion models, including nonlinear AR-GARCH models, in terms of an easily defined, uniformly ergodic process known as the collapsed process. Properties of this latter process also can determine the tail properties, including regular variation, and existence of moments for the stochastic recursion when it is stationary.

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