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ON STATIONARITY IN THE ARCH(∞) MODEL

Published online by Cambridge University Press:  06 March 2002

Vytautas Kazakevičius  and
Remigijus Leipus
Vytautas Kazakevičius
Affiliation:
Vilnius University
Remigijus Leipus
Affiliation:
Vilnius University and Institute of Mathematics and Informatics
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Abstract

We continue investigation of the ARCH(∞) model begun in Giraitis, Kokoszka, and Leipus (2000, Econometric Theory 16, 3–22). Nonrestrictive conditions for the existence of a strictly stationary solution are established. The paper generalizes the results of Nelson (1990, Econometric Theory 6, 318–334) and Bougerol and Picard (1992, Journal of Econometrics 52, 115–127) to the ARCH(∞) model.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 1 , February 2002 , pp. 1 - 16
Copyright
© 2002 Cambridge University Press

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