A NOTE ON THE STATIONARITY AND THE EXISTENCE OF MOMENTS OF THE GARCH MODEL

Authors
CHEN M AN HZ
Citation
M. Chen et Hz. An, A NOTE ON THE STATIONARITY AND THE EXISTENCE OF MOMENTS OF THE GARCH MODEL, Statistica sinica, 8(2), 1998, pp. 505-510
Citations number
8
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Statistica sinica → ACNP
ISSN journal
10170405
Volume
8
Issue
2
Year of publication
1998
Pages
505 - 510
Database
ISI
SICI code
1017-0405(1998)8:2<505:ANOTSA>2.0.ZU;2-8
Abstract
In the present paper we examine the strict stationarity and the existe nce of higher-order moments for the GARCH(p,q) model under general and tractable assumptions.