A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES

Mika Meitz ()

Econometric Theory, 2006, vol. 22, issue 05, pages 985-988

Abstract: We consider a family of GARCH(1,1) processes introduced in He and Ter svirta (1999a, Journal of Econometrics 92, 173 192). This family contains various popular generalized autoregressive conditional heteroskedasticity (GARCH) models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.This research was financially supported by the Jan Wallander s and Tom Hedelius Foundation, Grant J03 41. The author thanks the editor, an anonymous referee, Pentti Saikkonen, and Timo Ter svirta for useful comments.

Date: 2006
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466606060476 link to article abstract page (text/html)

Related works:
Working Paper: A necessary and sufficient condition for the strict stationarity of a family of GARCH processes (2005)
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:985-988_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 ().