Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56374
Authors: 
Meitz, Mika
Year of Publication: 
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 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.
Subjects: 
GARCH
strict stationarity
Lyapunov exponent
JEL: 
C22
Document Type: 
Working Paper

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