A generalized nonlinear model for long memory conditional heteroscedasticity

Ieva Grublytė, Andrius Škarnulis

We study the existence and properties of stationary solution of ARCH-type equation $r_t={\zeta }_t{\sigma }_t$, where ${\zeta }_t$ are standardized i.i.d. r.v.'s and the conditional variance satisfies…