Stationarity domains for [delta]-power Garch process with heavy tails

Fabio Bellini and Leonardo Bottolo

Statistics & Probability Letters, 2007, vol. 77, issue 13, 1418-1427

Abstract: We show that the characterization of the strict stationarity domain for a [delta]-power stable Garch model obtained in Mittnik et al. [2002. Stationarity of stable power-GARCH processes. J. Econometrics 106, 97-107] can be extended to general innovations, regardless of the existence of their [delta]-moments. We prove some general properties of these domains and analyze some cases particularly relevant in applications

Keywords: Power; Garch; models; Strict; and; weak; stationarity; [alpha]-stable; distributions; Heavy; tails; distributions (search for similar items in EconPapers)
Date: 2007
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