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Stationarity of a family of GARCH processes

Ji-Chun Liu

Econometrics Journal, 2009, vol. 12, issue 3, 436-446

Abstract: A natural generalization of the first-order GARCH processes family introduced in 1999 to allow for higher-order past errors and conditional variances on the current conditional variance equation is proposed. This new family of GARCH processes includes many well-known GARCH processes. A sufficient and necessary condition for the existence of stationary solution of the family of GARCH processes is given. In particular, we proved the stationarity of the so-called family of IGARCH processes. Copyright The Author(s). Journal compilation Royal Economic Society 2009

Date: 2009
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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:3:p:436-446