A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Mika Meitz

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given. -- GARCH ; strict stationarity ; Lyapunov exponent

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Year of publication:	23 July 2005
Other Persons:	Meitz, Mika (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	ARCH-Modell \| ARCH model \| Ökonometrisches Modell \| Econometric model

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Extent:	Online-Ressource (PDF-Datei: 4 S., 76,18 KB)
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 601
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	nBibliography Systemvoraussetzungen: Acrobat reader
Other identifiers:	hdl:10419/56374 [Handle]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003073741