Zakoïan, Jean-Michel; Regnard, Nazim - Université Paris-Dauphine (Paris IX) - 2008
This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive...