Mika Meitz: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
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.
4 pages, July 23, 2005
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