A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Mika Meitz ()

No 601, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.

Keywords: GARCH; strict stationarity; Lyapunov exponent (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 4 pages
Date: 2005-07-23
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0601

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