V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

Abstract

A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and β-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case. © 2012 Elsevier B.V.