Mixing properties of ARCH and time-varying ARCH processes

TL;DR

This paper derives bounds for the mixing rates of non-stationary time-varying ARCH processes, providing insights into their dependence structure and applicability to statistical inference.

Contribution

It introduces a method to bound mixing rates of non-stationary processes using conditional densities, specifically applied to tvARCH models.

Findings

Time-varying ARCH(p) processes exhibit geometric mixing rates.

Bounds on mixing rates depend on decay rates of ARCH(∞) parameters.

Methodology applicable to other non-stationary processes.

Abstract

There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying ARCH (tvARCH) models. In this paper, bounds for the mixing rates of a stochastic process are derived in terms of the conditional densities of the process. These bounds are used to obtain the $\alpha$, 2-mixing and $\beta$-mixing rates of the non-stationary time-varying $\operatorname {ARCH}(p)$ process and $\operatorname {ARCH}(\infty)$ process. It is shown that the mixing rate of the time-varying $\operatorname {ARCH}(p)$ process is geometric, whereas the bound on the mixing rate of the $\operatorname {ARCH}(\infty)$ process depends on the rate of decay of the $\operatorname {ARCH}(\infty)$ parameters. We note that the methodology given in this paper is applicable to other processes.