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Title:A necessary and sufficient condition for the strict stationarity of a family of GARCH processes PDF Logo
Authors:Meitz, Mika
Issue Date:2005
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 601
Abstract:We consider a family of GARCH(1,1) processes introduced in He and Ter├Ąsvirta (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.
Subjects:GARCH
strict stationarity
Lyapunov exponent
JEL:C22
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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