A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes
AbstractWe consider a family of GARCH(1,1) processes introduced in He and Ter svirta (1999a, Journal of Econometrics 92, 173 192). This family contains various popular generalized autoregressive conditional heteroskedasticity (GARCH) models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.This research was financially supported by the Jan Wallander s and Tom Hedelius Foundation, Grant J03 41. The author thanks the editor, an anonymous referee, Pentti Saikkonen, and Timo Ter svirta for useful comments.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 22 (2006)
Issue (Month): 05 (October)
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Other versions of this item:
- Meitz, Mika, 2005. "A necessary and sufficient condition for the strict stationarity of a family of GARCH processes," Working Paper Series in Economics and Finance 601, Stockholm School of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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