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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Volume (Year): 22 (2006)
Issue (Month): 05 (October)
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