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.
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页码：985 / 988
页数：4
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