SSE/EFI Working Paper Series in Economics and Finance
A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
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; (follow links to similar papers)
JEL-Codes: C22; (follow links to similar papers)
4 pages, July 23, 2005
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