Integrated Markov-Switching Garch Process
This paper investigates stationarity of the so-called integrated Markov-switching generalized autoregressive conditionally heteroskedastic (GARCH) process, which is an important subclass of the Markov-switching GARCH process introduced by Francq, Roussignol, and Zakoïan (2001, Journal of Time Series Analysis 22,197–220) and a Markov-switching version of the integrated GARCH (IGARCH) process. We show that, like the classical IGARCH process, a stationary solution with infinite variance for the integrated Markov-switching GARCH process may exist. To this purpose, an alternative condition for the existence of a strictly stationary solution of the Markov-switching GARCH process is presented, and some results obtained in Hennion (1997, Annals of Probability 25, 1545–1587) are employed. In addition, we also discuss conditions for the existence of a strictly stationary solution of the Markov-switching GARCH process with finite variance, which is a modification of Theorem 2 in Francq et al. (2001).
Volume (Year): 25 (2009)
Issue (Month): 05 (October)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:25:y:2009:i:05:p:1277-1288_09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.