ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES

Liu, Ji-Chun

Econometric Theory, 2006, vol. 22, issue 05, pages 852-862

Abstract: In this paper, some structural properties of a family of generalized autoregressive conditionally heteroskedastic (GARCH) processes are considered. First, a sufficient and necessary condition for the strict stationarity of this family of GARCH processes is given. Second, some simple conditions for the existence of the moments of the family of GARCH processes are also derived. Finally, we describe the tail of the marginal distribution of the family of GARCH processes.I am grateful to Bruce E. Hansen and an anonymous referee for helpful comments on the initial version.

Date: 2006

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466606060397 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:22:y:2006:i:05:p:852-862_06

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().