Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2006
generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Conditions under which the model is stable in the …Stability of nonlinear AR–GARCH models∗
Mika Meitz
Stockholm School of Economics
Pentti Saikkonen
University of …
heteroskedasticity (GARCH(1,1)) model. Conditions under which the model is stable in
the sense that its Markov chain representation is …