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On the stationarity of Dynamic Conditional Correlation models

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  • Jean-David Fermanian
  • Hassan Malongo

Abstract

We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study the existence of their finite moments.

Suggested Citation

  • Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
    • Handle: RePEc:arx:papers:1405.6905
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    References listed on IDEAS

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