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GARCH (1,1) processes are near epoch dependent. (English) Zbl 0806.62069
Summary: We obtain conditions under which GARCH(1,1) processes satisfy near epoch dependence without imposing strict stationarity. This substantially generalizes the conditions under which weak and strong laws of large numbers, central limit theorems and invariance principles hold for GARCH processes.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05 Central limit and other weak theorems
60F15 Strong limit theorems
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