ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
研究了一族广义自回归条件异方差（GARCH）过程的严格平稳性、矩存在条件以及边际分布的尾部特征，对金融波动率建模和风险管理有参考价值。
In this paper, some structural properties of a family of generalized autoregressive conditionally heteroskedastic (GARCH) processes are considered. First, a sufficient and necessary condition for the strict stationarity of this family of GARCH processes is given. Second, some simple conditions for the existence of the moments of the family of GARCH processes are also derived. Finally, we describe the tail of the marginal distribution of the family of GARCH processes.I am grateful to Bruce E. Hansen and an anonymous referee for helpful comments on the initial version.