Bulletin of the Korean Mathematical Society vol. 43, no. 4, pp. 813 - 820
Indexed
SCIE; SCOPUS; KCI
Document Type
Article
Abstract
We consider a MAR model with ARCH type conditional heteroscedasticity. NIAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity. 3-mixing property and existence of moments of the model are given via Markovian representation technique.