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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Mika Meitz
601
SSE/EFI Working Paper Series in Economics and Finance, 601, Economic Research Institute
2005

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.
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