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 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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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 601.
Length: 4 pages
Date of creation: 23 Jul 2005
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GARCH; strict stationarity; Lyapunov exponent;
Other versions of this item:
- Meitz, Mika, 2006. "A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes," Econometric Theory, Cambridge University Press, vol. 22(05), pages 985-988, October.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-09-11 (All new papers)
- NEP-ECM-2005-09-11 (Econometrics)
- NEP-ETS-2005-09-11 (Econometric Time Series)
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