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

被引：7

作者：

Meitz, Mika ^{[1
]}

机构：

[1] Stockholm Sch Econ, Dept Econ Stat, SE-11383 Stockholm, Sweden

来源：

ECONOMETRIC THEORY | 2006年 / 22卷 / 05期

关键词：

D O I：

10.1017/S0266466606060476

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider a family of GARCH(1,1) processes introduced in He and Terasvirta (1999a, Journal of Econometrics 92, 173-192). This family contains various popular generalized autoregressive conditional heteroskedasticity (GARCH) models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.

引用

页码：985 / 988

页数：4

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