On the uniqueness of ARCH processes

Vytautas  Kazakevičius; Remigijus  Leipus

doi:10.15388/LMR.2007.18181

Articles

Vytautas Kazakevičius

Vilnius University

Remigijus Leipus

Vilnius University, Institute of Mathematics and Informatics

Published 2007-12-20

https://doi.org/10.15388/LMR.2007.18181

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Keywords

ARCH process
strictly stationary solution

How to Cite

Kazakevičius, V. and Leipus, R. (2007) “On the uniqueness of ARCH processes”, Lietuvos matematikos rinkinys, 47(spec.), pp. 53–57. doi:10.15388/LMR.2007.18181.

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Abstract

In this note we prove the uniqueness of the solution to ARCH equations under conditions, which are weaker than in some earlier results.

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