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