Article2003

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

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

In the present paper we examine the strict stationarity and the existence of higher-order moments for the GARCH(p,q) model under general and tractable assumptions.

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1992Stationarity of Garch processes and of some nonnegative time series

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2011Financial Economics, Fat-Tailed Distributions 2005Asymptotic theory for ARCH-SM models: Lan and residual empirical processes 2004A multivariate conditional autoregressive range model 2009A Tour in the Asymptotic Theory of GARCH Estimation 2008Test for parameter change in ARMA models with GARCH innovations 2017On score vector- and residual-based CUSUM tests in ARMA–GARCH models

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