On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model

Abstract

Following Tweedie (1988), this paper constructs a special test function which leads to sufficient conditions for the stationarity and finiteness of the moments of a general non-linear time series model, the double threshold ARMA conditional heteroskedastic (DTARMACH) model. The results are applied to two well-known special cases, the GARCH and threshold ARMA (TARMA) models. The condition for the finiteness of the moments of the GARCH model is simple and easier to check than the condition given by Milhøj (1985) for the ARCH model. The condition for the stationarity of the TARMA model is identical to the condition given by Brockwellet al. (1992) for a special case, and verifies their conjecture that the moving average component does not affect the stationarity of the model. Under an additional irreducibility assumption, the geometric ergodicity of the GARCH and TARMA models is also established.