Advances and Applications in Statistics
Volume 8, Issue 2, Pages 291 - 296
(April 2008)
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STATIONARITY OF SQUARES SEQUENCES FROM ARCH(1)
Zhiqiang Zhang (P. R. China), Riquan Zhang (P. R. China) and Jingyan Feng (P. R. China)
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Abstract: In this paper, the stationarity of squares sequences from ARCH(1) is discussed and the asymptotic properties of squares sequences from ARCH(1) that the sequences converge to a Brownian motion in distribution, and are convergent in almost sure and in mean square are given under some mild conditions. |
Keywords and phrases: ARCH, converges in distribution, Brownian motion, almost sure convergence, mean square convergence. |
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