ON STATIONARITY IN THE ARCH([infty infinity]) MODEL

Vytautas Kazakevicius and Remigijus Leipus

Econometric Theory, 2002, vol. 18, issue 01, pages 1-16

Abstract: We continue investigation of the ARCH( ) model begun in Giraitis, Kokoszka, and Leipus (2000, Econometric Theory 16, 3 22). Nonrestrictive conditions for the existence of a strictly stationary solution are established. The paper generalizes the results of Nelson (1990, Econometric Theory 6, 318 334) and Bougerol and Picard (1992, Journal of Econometrics 52, 115 127) to the ARCH( ) model.

Date: 2002

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:18:y:2002:i:01:p:1-16_18

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