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A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES

Published online by Cambridge University Press:  30 August 2006

Mika Meitz
Affiliation:
Stockholm School of Economics

Abstract

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a, Journal of Econometrics 92, 173–192). This family contains various popular generalized autoregressive conditional heteroskedasticity (GARCH) models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.This research was financially supported by the Jan Wallander's and Tom Hedelius' Foundation, Grant J03–41. The author thanks the editor, an anonymous referee, Pentti Saikkonen, and Timo Teräsvirta for useful comments.

Type
NOTES AND PROBLEMS
Copyright
© 2006 Cambridge University Press

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References

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A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
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