ON THE STABILITY OF A HETEROSCEDASTIC PROCESS

Andrew A. Weis

Journal of Time Series Analysis, 1986, vol. 7, issue 4, 303-310

Abstract: Abstract. In this paper we derive the stability conditions in a time series regression model with a particular form of conditional heteroscedasticity. The variables affecting the variance include lagged errors, lagged dependent variables and a forecast variable. In addition to the usual stability conditions in a dynamic model, a condition on the parameters of the heteroscedasticity equation is also required.

Date: 1986
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https://doi.org/10.1111/j.1467-9892.1986.tb00497.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:7:y:1986:i:4:p:303-310

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