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A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
2006
Econometric Theory
Preserved Fulltext
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.
doi:10.1017/s0266466606060476
fatcat:hio6pv2ssvdmdfcdwdllruq6m4