ON STATIONARITY IN THE ARCH(∞) MODEL

Vytautas Kazakevičius; Remigijus Leipus

doi:10.1017/S0266466602181011

Abstract

We continue investigation of the ARCH(∞) model begun in Giraitis, Kokoszka, and Leipus (2000, Econometric Theory 16, 3–22). Nonrestrictive conditions for the existence of a strictly stationary solution are established. The paper generalizes the results of Nelson (1990, Econometric Theory 6, 318–334) and Bougerol and Picard (1992, Journal of Econometrics 52, 115–127) to the ARCH(∞) model.

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ON STATIONARITY IN THE ARCH(∞) MODEL

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