A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
研究了一族包含多种常见GARCH模型的GARCH(1,1)过程，给出了其存在严格平稳解的充要条件，对金融波动率建模和理论研究者有参考价值。
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 Wallander's and Tom Hedelius' Foundation, Grant J03–41. The author thanks the editor, an anonymous referee, Pentti Saikkonen, and Timo Teräsvirta for useful comments.