Arbeitspapier
Stationarity and the existence of moments of a family of GARCH processes
This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the αδ-order stationary solution of the processes is derived, where α element of (0, 1] and δ > 0. The solution is strictly stationary and ergodic, and the causal expansion of the family of GARCH processes is also established. Furthermore, the necessary and sufficient condition for the existence of the moments is obtained. The technique used in this paper for the moment conditions is different to that used in He and Terasvirta (1999a), and avoids the assumption that the process started at some finite value infinitely many periods ago. Moreover, the conditions for the strict stationarity of the model and the existence of its moments are simple to check and should prove useful in practice.
- Language
-
Englisch
- Bibliographic citation
-
Series: ISER Discussion Paper ; No. 535
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
- Subject
-
Ergodicity
Existence of moments
GARCH
Stationarity
ARCH-Modell
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Ling, Shiqing
MacAleer, Michael
- Event
-
Veröffentlichung
- (who)
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Osaka University, Institute of Social and Economic Research (ISER)
- (where)
-
Osaka
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ling, Shiqing
- MacAleer, Michael
- Osaka University, Institute of Social and Economic Research (ISER)
Time of origin
- 2001
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