ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS

Jean-David Fermanian and Hassan Malongo

Econometric Theory, 2017, vol. 33, issue 3, 636-663

Abstract: We provide conditions for the existence and the uniqueness of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie’s (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. We also study the existence of their moments and discuss the tightness of our sufficient conditions.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:33:y:2017:i:03:p:636-663_00

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