Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 601: A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Mika Meitz ()
Additional contact information
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.

Keywords: GARCH; strict stationarity; Lyapunov exponent

JEL-codes: C22

4 pages, July 23, 2005

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