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

Mika Meitz ()

Econometric Theory, 2006, vol. 22, issue 5, 985-988

Abstract: We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (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 Teräsvirta for useful comments.

Date: 2006
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Working Paper: A necessary and sufficient condition for the strict stationarity of a family of GARCH processes (2005)
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