On the stationarity of Dynamic Conditional Correlation models

Jean-David Fermanian and Hassan Malongo

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Abstract: We provide conditions for the existence and the unicity 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. Moreover, we study the existence of their finite moments.

Date: 2014-05, Revised 2016-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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