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Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models

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We establish new results on the strictly stationary solution to an iterated function system. When the driving sequence is stationary and ergodic, though not independent, the strictly stationary solution may… Click to show full abstract

We establish new results on the strictly stationary solution to an iterated function system. When the driving sequence is stationary and ergodic, though not independent, the strictly stationary solution may admit no moment but we show an exponential control of the trajectories. We exploit these results to prove, under mild conditions, the consistency of the quasi-maximum likelihood estimator of GARCH(p,q) models with non-independent innovations.

Keywords: control trajectories; garch models; iterated function; exponential control

Journal Title: Journal of Applied Probability
Year Published: 2023

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