Mixing properties of ARCH and time-varying ARCH processes

Details Mixing properties of ARCH and time-varying ARCH processes Mixing properties of ARCH and time-varying ARCH processes

2011-02-10

arxiv.org/abs/1102.2053v1

Bernoulli 2011, Vol. 17, No. 1, 320-346

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ270 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ270

There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying ARCH (tvARCH) models. In this paper, bounds for the mixing rates of a stochastic process are derived in terms of the conditional densities of the process. These bounds are used to obtain the $\alpha$, 2-mixing and $\beta$-mixing rates of the non-stationary time-varying $\operatorname {ARCH}(p)$ process and $\operatorname {ARCH}(\infty)$ process. It is shown that the mixing rate of the time-varying $\operatorname {ARCH}(p)$ process is geometric, whereas the bound on the mixing rate of the $\operatorname {ARCH}(\infty)$ process depends on the rate of decay of the $\operatorname {ARCH}(\infty)$ parameters. We note that the methodology given in this paper is applicable to other processes.

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