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Stationarity of a family of GARCH processes

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  • Ji-Chun Liu

Abstract

A natural generalization of the first-order GARCH processes family introduced in 1999 to allow for higher-order past errors and conditional variances on the current conditional variance equation is proposed. This new family of GARCH processes includes many well-known GARCH processes. A sufficient and necessary condition for the existence of stationary solution of the family of GARCH processes is given. In particular, we proved the stationarity of the so-called family of IGARCH processes. Copyright The Author(s). Journal compilation Royal Economic Society 2009

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  • Ji-Chun Liu, 2009. "Stationarity of a family of GARCH processes," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 436-446, November.
    • Handle: RePEc:ect:emjrnl:v:12:y:2009:i:3:p:436-446
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    Cited by:

    1. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.

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