| dc.description |
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (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.This research was financially supported by the Jan Wallanderʼs and Tom Hedeliusʼ Foundation, Grant J03–41. The author thanks the editor, an anonymous referee, Pentti Saikkonen, and Timo Teräsvirta for useful comments. |
