A note on the stationarity and the existence of moments of the garch model

Statistica Sinica

Volumn 8, Issue 2, 1998, Pages 505-510

  Chen, Min ^a,b   An, Hong Zhi ^a,b  

^a INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^b INSTITUTE OF APPLIED MATHEMATICS   (China)

Author keywords

GARCH model; Higher order moments; Nonlinear time series; Strict stationarity

Indexed keywords

EID: 0032388547     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (8)

1. Billingsley, P. (1968). Convergence of Probability Measure. Wiley, New York.
2. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. J. Econometrics 31, 307-327.
3. Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992). ARCH modeling in finance. J. Econometrics 52, 5-59.
4. Bougeral, P. and Picard, N. (1992). Stationarity of GARCH processes and of some nonnegative time series. J. Econometrics 52, 115-127.
5. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of U. K. inflation. Econometrica 50, 987-1007.
6. Guégan, D. and Diebolt, J. (1994). Probabilistic properties of the β-ARCH model. Statist. Sinica 4, 71-87.
7. Horn, R. A. and Johnson, C. R. (1985). Matrix Analysis. Cambridge Univ. Press.
8. Subba Rao, T. (1981). On the theory of bilinear time series models. J. Roy. Statist. Soc. Ser. B 43, 244-255.