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
Authors:	Meitz, Mika
Publisher:	Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI)
Subject:	ARCH-Modell \| Ökonometrisches Modell \| GARCH \| strict stationarity \| Lyapunov exponent

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Series:	SSE/EFI Working Paper Series in Economics and Finance ; 601
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	497880067 [GVK] hdl:10419/56374 [Handle]
Classification:	C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010281442