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

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.

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Year of publication:	2005-07-23
Authors:	Meitz, Mika
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	GARCH \| strict stationarity \| Lyapunov exponent

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Extent:	application/pdf
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 601 4 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005423819