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Korean Mathematical Society JKMS

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J. Korean Math. Soc. 2004; 41(2): 309-318

Printed March 1, 2004

Copyright © The Korean Mathematical Society.

On geometric ergodicity of an AR-ARCH type process with Markov switching

Oesook Lee and Dong Wan Shin

Ewha Womans University, Ewha Womans University

Abstract

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We consider a nonlinear AR-ARCH type process subject to Markov-switching and give sufficient conditions for geometric ergodicity of the process. Existence of moments is also obtained.

Keywords: Markov chain, ARCH type model, Markov switching, irreducibility, geometric ergodicity, moment

MSC numbers: 62M10, 60J10

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